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Basics of electricity derivative pricing in competitive markets. (English) Zbl 1013.91049

Summary: This paper studies the application of the available financial theory to the deregulated electricity market. The special characteristics of electricity make the market different from all other commodity markets. The paper introduces a coherent framework for the assets and instruments in the electricity markets in the financial tradition. Properties of the instruments that are available in the Scandinavian electricity market are studied in more detail.

MSC:

91B28 Finance etc. (MSC2000)
91B26 Auctions, bargaining, bidding and selling, and other market models
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