Structural price model for coupled electricity markets
Abstract
We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in order to represent some key characteristics of electricity spot prices such as their link to fuel prices, consumption level and production fleet. With this model, explicit formulas are also available for forward prices and other derivatives. We give some illustrative results of the behaviour of spot, forward and transmission rights prices.
- Publication:
-
Energy Economics
- Pub Date:
- September 2018
- DOI:
- 10.1016/j.eneco.2018.07.018
- arXiv:
- arXiv:1704.06027
- Bibcode:
- 2018EneEc..75..104A
- Keywords:
-
- C60;
- G12;
- G13;
- Q40;
- Quantitative Finance - Mathematical Finance