search query: @author Lemmon, M.L. / total: 6
reference: 5 / 6
Author: | Bessembinder, H. Lemmon, M.L. |
Title: | Equilibrium pricing and optimal hedging in electricity forward markets |
Journal: | Journal of Finance
2002 : JUN, VOL. 57:3, p. 1347-1382 |
Index terms: | ELECTRICITY INDUSTRY EQUILIBRIUM ANALYSIS HEDGING PRICING |
Language: | eng |
Abstract: | Spot power prices are volatile and since electricity cannot be economically stored, familiar arbitrage-based methods are not applicable for pricing power derivative contracts. This paper presents an equilibrium model implying that the forward power price is a downward biased predictor of the future spot price if expected power demand is low and demand risk is moderate. |
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