naa a22 4500 510808522 CHVBK 20180411083430.0 cr unu---uuuuu 180411e20130301xx s 000 0 eng 10.1007/s11579-012-0091-4 doi (NATIONALLICENCE)springer-10.1007/s11579-012-0091-4 Electricity price modeling and asset valuation: a multi-fuel structural approach [Elektronische Daten] [René Carmona, Michael Coulon, Daniel Schwarz] We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity spot prices. The stack structure allows for a range of generator efficiencies per fuel type and for the possibility of future changes in the merit order of the fuels. The derived spot price process captures important stylized facts of historical electricity prices, including both spikes and the complex dependence upon its underlying supply and demand drivers. Furthermore, under mild and commonly used assumptions on the distributions of the input factors, we obtain closed-form formulae for electricity forward contracts and for spark and dark spread options. As merit order dynamics and fuel forward prices are embedded into the model, we capture a much richer and more realistic dependence structure than can be achieved by classical reduced-form models. We illustrate these advantages by comparing with Margrabe's formula and a simple cointegration model, and highlight important implications for the valuation of power plants. Springer-Verlag Berlin Heidelberg, 2012 Electricity markets nationallicence Structural model nationallicence Forward prices nationallicence Spread options nationallicence Power plant valuation nationallicence Carmona René ORFE Department, Princeton University, 08544, Princeton, NJ, USA aut Coulon Michael ORFE Department, Princeton University, 08544, Princeton, NJ, USA aut Schwarz Daniel Oxford-Man Institute, University of Oxford, Eagle House, Walton Well Road, OX2 6ED, Oxford, UK aut Mathematics and Financial Economics Springer Berlin Heidelberg 7/2(2013-03-01), 167-202 1862-9679 7:2<167 2013 7 11579 https://doi.org/10.1007/s11579-012-0091-4 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11579-012-0091-4 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Carmona René ORFE Department, Princeton University, 08544, Princeton, NJ, USA aut NATIONALLICENCE 700 1- Coulon Michael ORFE Department, Princeton University, 08544, Princeton, NJ, USA aut NATIONALLICENCE 700 1- Schwarz Daniel Oxford-Man Institute, University of Oxford, Eagle House, Walton Well Road, OX2 6ED, Oxford, UK aut NATIONALLICENCE 773 0- Mathematics and Financial Economics Springer Berlin Heidelberg 7/2(2013-03-01), 167-202 1862-9679 7:2<167 2013 7 11579 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer