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dc.contributor.authorBjerksund, Petter
dc.contributor.authorRasmussen, Heine
dc.contributor.authorStensland, Gunnar
dc.date.accessioned2006-07-14T10:27:33Z
dc.date.available2006-07-14T10:27:33Z
dc.date.issued2000
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/164077
dc.description.abstractThe 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.extent1183461 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2000:20en
dc.titleValuation and risk management in the Norwegian electricity marketen
dc.typeWorking paperen


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