TY - GEN
T1 - Energy derivative market and derivative pricing via simulation
AU - Lu, Z.
AU - Lu, M.
AU - Dong, Z. Y.
AU - Ngan, H. W.
N1 - Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].
PY - 2006
Y1 - 2006
N2 - The deregulation of power industry worldwide has delivered the efficiency gains to the society; meanwhile, the intensity of competition has increased uncertainty and risks to market participants. Consequently, market participants are keen to hedge the market risks and maintain a competitive edge in the market; and this is a good explanation to the flourish of electricity derivative market. In this paper, the authors gave a comprehensive review of derivative contract pricing methods and proposed a new framework for energy derivative pricing to suit the needs of a deregulated electricity market.
AB - The deregulation of power industry worldwide has delivered the efficiency gains to the society; meanwhile, the intensity of competition has increased uncertainty and risks to market participants. Consequently, market participants are keen to hedge the market risks and maintain a competitive edge in the market; and this is a good explanation to the flourish of electricity derivative market. In this paper, the authors gave a comprehensive review of derivative contract pricing methods and proposed a new framework for energy derivative pricing to suit the needs of a deregulated electricity market.
KW - ARIMA and Monte Carlo simulation
KW - Energy Derivative
KW - OTC Market
UR - https://www.scopus.com/pages/publications/70350247377
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-70350247377&origin=recordpage
U2 - 10.1049/cp:20062162
DO - 10.1049/cp:20062162
M3 - RGC 32 - Refereed conference paper (with host publication)
SN - 0863412467
SN - 9780863412462
T3 - IET Conference Publications
BT - 7th IET International Conference on Advances in Power System Control, Operation and Management (APSCOM 2006)
T2 - 7th IET International Conference on Advances in Power System Control, Operation and Management, APSCOM 2006
Y2 - 30 October 2006 through 2 November 2006
ER -