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dc.date.accessioned2013-03-12T08:22:32Z
dc.date.available2013-03-12T08:22:32Z
dc.date.issued2009en_US
dc.date.submitted2009-05-25en_US
dc.identifier.citationFjeldskår, Hanne. MODELING OF FORWARD CONTRACTS IN ELECTRICITY MARKETS. Masteroppgave, University of Oslo, 2009en_US
dc.identifier.urihttp://hdl.handle.net/10852/10822
dc.description.abstractSince 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. iiieng
dc.language.isoengen_US
dc.subjectelektrisitetsmarkedet forward kontrakter HUMen_US
dc.titleMODELING OF FORWARD CONTRACTS IN ELECTRICITY MARKETSen_US
dc.typeMaster thesisen_US
dc.date.updated2009-10-13en_US
dc.creator.authorFjeldskår, Hanneen_US
dc.subject.nsiVDP::412en_US
dc.identifier.bibliographiccitationinfo: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=Masteroppgaveen_US
dc.identifier.urnURN:NBN:no-23191en_US
dc.type.documentMasteroppgaveen_US
dc.identifier.duo92194en_US
dc.contributor.supervisorFred Espen Benth og Steen Koekebakkeren_US
dc.identifier.bibsys09349954xen_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10822/1/master.pdf


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