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dc.date.accessioned2017-08-11T11:19:19Z
dc.date.available2017-08-11T11:19:19Z
dc.date.created2017-08-09T13:42:50Z
dc.date.issued2017
dc.identifier.citationBenth, Fred Espen Eriksson, Marcus Karl Viren Westgaard, Sjur . Optimal management of green certificates in the Swedish-Norwegian market. Journal of Energy Markets. 2017, 10(2), 1-39
dc.identifier.urihttp://hdl.handle.net/10852/56953
dc.description.abstractWe propose and investigate a valuation model for the income of selling tradeable green certificates (TGCs) in the Swedish–Norwegian market, formulated as a singular stochastic control problem. Our model takes into account the production rate of renewable energy from a “typical” plant, the price of TGCs and the cumulative amount of certificates sold. We assume that the production rate has a dynamics given by an exponential Ornstein–Uhlenbeck process, and the logarithmic TGC price has a dynamics given by a Lévy process. For this class of dynamics, we find optimal decision rules for the state variables and a closed-form solution to the control problem. A case study of ICAP prices and wind production data from Denmark backs up our model choice and shows the relevance of this pricing approach. The final version of this research has been published in Journal of Energy Markets. © Incisive Mediaen_US
dc.languageEN
dc.publisherIncisive Media Investments Ltd.
dc.titleOptimal management of green certificates in the Swedish-Norwegian marketen_US
dc.typeJournal articleen_US
dc.creator.authorBenth, Fred Espen
dc.creator.authorEriksson, Marcus Karl Viren
dc.creator.authorWestgaard, Sjur
cristin.unitcode185,15,13,35
cristin.unitnameStokastisk analyse, finans, forsikring og risiko
cristin.ispublishedtrue
cristin.fulltextpreprint
cristin.qualitycode1
dc.identifier.cristin1485192
dc.identifier.bibliographiccitationinfo:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Journal of Energy Markets&rft.volume=10&rft.spage=1&rft.date=2017
dc.identifier.jtitleJournal of Energy Markets
dc.identifier.volume10
dc.identifier.issue2
dc.identifier.startpage1
dc.identifier.endpage39
dc.identifier.doihttp://dx.doi.org/10.21314/JEM.2017.159
dc.identifier.urnURN:NBN:no-59693
dc.type.documentTidsskriftartikkelen_US
dc.source.issn1756-3615
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/56953/2/green-eprint.pdf
dc.type.versionSubmittedVersion


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