Valuation and risk management in the Norwegian electricity market

dc.contributor.author	Bjerksund, Petter
dc.contributor.author	Rasmussen, Heine
dc.contributor.author	Stensland, Gunnar
dc.date.accessioned	2006-07-14T10:27:33Z
dc.date.available	2006-07-14T10:27:33Z
dc.date.issued	2000
dc.identifier.issn	1500-4066
dc.identifier.uri	http://hdl.handle.net/11250/164077
dc.description.abstract	The purpose of this paper is two-fold: Firstly, we analyze option value approximation of traded options in the presence of a volatility term structure. The options are identified as: "European" (written on the forward price of a future flow delivery); and (ii) Asian. Both types are in fact written on (arithmetic) price averages. Secondly, adopting a 3-factor model for market risk which is compatible with the valuation results, we discuss risk management in the electricity market within the Value at Risk concept. The analysis is illustrated by numerical cases from the Norwegian electricity derivatives market.	en
dc.format.extent	1183461 bytes
dc.format.mimetype	application/pdf
dc.language.iso	eng	en
dc.publisher	Norwegian School of Economics and Business Administration. Department of Finance and Management Science	en
dc.relation.ispartofseries	Discussion paper	en
dc.relation.ispartofseries	2000:20	en
dc.title	Valuation and risk management in the Norwegian electricity market	en
dc.type	Working paper	en