Cross-hedging and forward-contract prici
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Chi-Keung Woo; Ira Horowitz; Arne Olson; Andrew DeBenedictis; David Miller; Jack
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Article
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2011
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John Wiley and Sons
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English
β 184 KB
This paper develops a linear regression model for using actively traded NYMEX natural gas futures as a cross-hedge against electricity spot-price risk in the Pacific Northwest and for pricing the forward contracts in the presence of temperature and hydro risks. Our approach comports with reality and