Dynamic equilibrium valuation of electricity futures


We propose a dynamic competitive equilibrium model for pricing electricity futures. With exogenous demand and a convex function of marginal production cost, we endogenously receive a term structure of futures prices and futures price premia. The multi-period setting enables us to receive the futures price evolution until maturity and to evaluate cascade futures as they are common e. g. at Nord Pool and the European Energy Exchange. Our model allows to incorporate seasonality of electricity demand which is a major component of electricity prices. A comprehensive comparative static analysis concludes our paper.



    Upload a copy of this work     Papers currently archived: 76,297

External links

Setup an account with your affiliations in order to access resources via your University's proxy server

Through your library

  • Only published works are available at libraries.


Added to PP

10 (#890,025)

6 months
1 (#450,425)

Historical graph of downloads
How can I increase my downloads?

Citations of this work

No citations found.

Add more citations

References found in this work

No references found.

Add more references