dc.date.accessioned 2013-03-12T08:22:32Z dc.date.available 2013-03-12T08:22:32Z dc.date.issued 2009 en_US dc.date.submitted 2009-05-25 en_US dc.identifier.citation Fjeldskår, Hanne. MODELING OF FORWARD CONTRACTS IN ELECTRICITY MARKETS. Masteroppgave, University of Oslo, 2009 en_US dc.identifier.uri http://hdl.handle.net/10852/10822 dc.description.abstract Since the deregulation of electricity, new models were needed to quantify the price of contracts with speci ed delivery period of electricity. In this thesis we have looked at two such models. The rst model is given in [6], here the electricity price is modeled as a sum of log-normal forwards. The main concern was how the swap price and log-returns of the electricity price would behave, given the log-normal forwards. Secondly we compare the above model for electricity prices, with a second model for electricity prices given by [9]. The comparison is interesting, since the second model makes an approximation to the electricity price which is not consistent with what the mathematics tell us. And nally we simulate a call option price with each model as underlying. We have observed di erences in the swap price paths and log-returns estimated by the two models. Because of the di erence price paths, the price of the call option gave di erent values. iii eng dc.language.iso eng en_US dc.subject elektrisitetsmarkedet forward kontrakter HUM en_US dc.title MODELING OF FORWARD CONTRACTS IN ELECTRICITY MARKETS en_US dc.type Master thesis en_US dc.date.updated 2009-10-13 en_US dc.creator.author Fjeldskår, Hanne en_US dc.subject.nsi VDP::412 en_US dc.identifier.bibliographiccitation info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft.au=Fjeldskår, Hanne&rft.title=MODELING OF FORWARD CONTRACTS IN ELECTRICITY MARKETS&rft.inst=University of Oslo&rft.date=2009&rft.degree=Masteroppgave en_US dc.identifier.urn URN:NBN:no-23191 en_US dc.type.document Masteroppgave en_US dc.identifier.duo 92194 en_US dc.contributor.supervisor Fred Espen Benth og Steen Koekebakker en_US dc.identifier.bibsys 09349954x en_US dc.identifier.fulltext Fulltext https://www.duo.uio.no/bitstream/handle/10852/10822/1/master.pdf
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