GARCH-based put option valuation to maximize benefit of wind investors
A method based on Empirical Martingale Simulation (EMS) is presented to evaluate investments in wind energy. Risk-neutral prices are calculated, where electricity market prices are modeled using an ARIMA–GARCH method which shows conditional heteroskedasticity. The values of the put options are calcu...
- Autores:
-
Rodríguez, Jenny Esperanza
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2014
- Institución:
- Universidad ICESI
- Repositorio:
- Repositorio ICESI
- Idioma:
- eng
- OAI Identifier:
- oai:repository.icesi.edu.co:10906/79820
- Acceso en línea:
- http://www.sciencedirect.com/science/article/pii/S0306261914008988
http://hdl.handle.net/10906/79820
http://dx.doi.org/10.1016/j.apenergy.2014.08.085
- Palabra clave:
- Inversiones
Mercado
Simulación
Economía
Negocios y management
Economics
Business
- Rights
- openAccess
- License
- https://creativecommons.org/licenses/by-nc-nd/4.0/