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The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets

18 Feb 2020 • Annika Kemper • Maren D. Schmeck • Anna Kh. Balci

In electricity markets, futures contracts typically function as a swap since they deliver the underlying over a period of time. In this paper, we introduce a market price for the delivery periods of electricity swaps, thereby opening an arbitrage-free pricing framework for derivatives based on these contracts... (read more)

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