Electricity Real Options Valuation
Atmospheric and Oceanic Physics
2007-05-23 v1 Mathematical Physics
math.MP
Data Analysis, Statistics and Probability
Abstract
In this paper a real option approach for the valuation of real assets is presented. Two continuous time models used for valuation are described: geometric Brownian motion model and interest rate model. The valuation for electricity spread option under Vasicek interest model is placed and the formulas for parameter estimators are calculated. The theoretical part is confronted with real data from electricity market.
Cite
@article{arxiv.physics/0608167,
title = {Electricity Real Options Valuation},
author = {Ewa Broszkiewicz-Suwaj},
journal= {arXiv preprint arXiv:physics/0608167},
year = {2007}
}
Comments
To be published in Acta Phys. Pol. B