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Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange

✍ Scribed by Julio J. Lucia; Eduardo S. Schwartz

Book ID
110324781
Publisher
Springer US
Year
2002
Tongue
English
Weight
619 KB
Volume
5
Category
Article
ISSN
1380-6645

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## Abstract This study investigates the pricing of electricity futures at the European Energy Exchange (EEX) over the period 2002 through 2004. To calculate theoretical contract values, the reduced‐form models of J. J. Lucia and E. S. Schwartz (2002) are used, and a thorough empirical analysis by m