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An Analytical Model for Standard and Volumetric Cap and Floor Pricing in Electricity Markets

https://doi.org/10.2139/ssrn.2694868
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Options, Futures and Other Derivatives
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Electricity price modeling and asset valuation: a multi-fuel structural approach
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Modeling spot price dependence in Australian electricity markets with applications to risk management
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Australian evidence on the role of interregional flows, production capacity, and generation mix in wholesale electricity prices and price volatility
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Quantifying risk in the electricity business: A RAROC-based approach
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Stochastic price modeling of high volatility, mean-reverting, spike-prone commodities: The Australian wholesale spot electricity market
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A model for hedging load and price risk in the Texas electricity market
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Hedging strategies in energy markets: The case of electricity retailers
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Modelling interregional links in electricity price spikes
inferredcites →https://doi.org/10.1016/j.eneco.2016.11.023openalex-extracted
Joint price and volumetric risk in wind power trading: A copula approach
inferredcites →https://doi.org/10.1016/j.enpol.2006.11.010openalex-extracted
Forward contracts in electricity markets: The Australian experience
inferredcites →https://doi.org/10.1016/j.ijforecast.2013.12.011openalex-extracted
The modeling and forecasting of extreme events in electricity spot markets
inferredcites →https://doi.org/10.1016/j.jbankfin.2008.04.006openalex-extracted
Spot price modeling and the valuation of electricity forward contracts: The role of demand and capacity
inferredcites →https://doi.org/10.1016/j.jbankfin.2008.04.007openalex-extracted
The price of power: The valuation of power and weather derivatives
inferredcites →https://doi.org/10.1016/j.jcomm.2018.02.001openalex-extracted
Electricity markets around the world
inferredcites →https://doi.org/10.1016/j.solener.2013.02.022openalex-extracted
Ensuring long term investment for large scale solar power stations: Hedging instruments for green power
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Regime jumps in electricity prices
inferredcites →https://doi.org/10.1080/14697688.2017.1307511openalex-extracted
A mixed C-vine copula model for hedging price and volumetric risk in wind power trading
inferredcites →https://doi.org/10.1111/1475-4932.12072openalex-extracted
Semi‐parametric Forecasting of Spikes in Electricity Prices
inferredcites →https://doi.org/10.1111/1540-6261.00463openalex-extracted
Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets
inferredcites →https://doi.org/10.1111/j.1467-9965.2011.00507.xopenalex-extracted
A STRUCTURAL RISK‐NEUTRAL MODEL FOR PRICING AND HEDGING POWER DERIVATIVES
inferredcites →https://doi.org/10.1163/9789004322714_cclc_2017-0002-013openalex-extracted
Independent Review into the Future Security of the National Electricity Market
inferredcites →https://doi.org/10.1287/deca.1090.0167openalex-extracted
Optimal Static Hedging of Volumetric Risk in a Competitive Wholesale Electricity Market
inferredcites →https://doi.org/10.21314/jem.2014.104openalex-extracted
Models for short-term forecasting of spike occurrences in Australian electricity markets: a comparative study
inferredcites →https://doi.org/10.21314/jem.2016.138openalex-extracted
A method of forecasting wholesale electricity market prices
inferredcites →https://doi.org/10.2139/ssrn.1024243openalex-extracted
Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity
inferredcites →https://doi.org/10.2139/ssrn.147128openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.1991452openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.2081738openalex-extracted
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A Model for Hedging Load and Price Risk in the Texas Electricity Market
inferredcites →https://doi.org/10.2139/ssrn.240815openalex-extracted
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Handbook of Mathematical Functions with Formulas, Graphs, and Mathematical Tables
inferredcites →https://doi.org/10.23874/amber/2016/v7/i1/121351openalex-extracted
“Options, Futures, and Other Derivatives”
inferredcites →https://doi.org/10.5547/01956574.37.4.rnepopenalex-extracted
Testing for Market Integration in the Australian National Electricity Market
inferredcites →https://doi.org/10.5547/issn0195-6574-ej-vol30-no1-2openalex-extracted
It Never Rains but it Pours: Modeling the Persistence of Spikes in Electricity Prices
inferredcites →https://doi.org/10.1016/j.eneco.2013.03.013openalex-snapshot
Identifying Spikes and Seasonal Components in Electricity Spot Price Data: A Guide to Robust Modeling
inferredcites →https://doi.org/10.1016/j.ijforecast.2011.02.019openalex-snapshot
Forecasting spikes in electricity prices
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