A methodology for option pricing in electricity markets. Case study : Colombia

"Electricity is a commodity that behaves unlike others in the way that cannot be stored cheaply, its transport depends on existent electrical networks, and can be generated from different sources. This makes the price of electricity highly volatile. As a risk hedging strategy, different financi...

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Autores:
Uriza Antorveza, Pablo Andrés
Tipo de recurso:
Fecha de publicación:
2016
Institución:
Universidad de los Andes
Repositorio:
Séneca: repositorio Uniandes
Idioma:
spa
OAI Identifier:
oai:repositorio.uniandes.edu.co:1992/13868
Acceso en línea:
http://hdl.handle.net/1992/13868
Palabra clave:
Energía eléctrica - Precios - Investigaciones - Colombia
Fijación de precios - Investigaciones - Colombia - Métodos de simulación
Opciones (Finanzas) - Precios - Investigaciones - Colombia
Confiabilidad (Ingeniería) - Investigaciones - Colombia
Ingeniería
Rights
openAccess
License
https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdf
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spelling Al consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores.https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdfinfo:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Cabrales Arévalo, Sergio Andrésd75c04a8-e7d4-417f-b93f-cbba26431adb400Uriza Antorveza, Pablo Andrés10812500Villarreal Navarro, Julio ErnestoBenavides Estévez-Breton, Juan MauricioBogotá2018-09-28T10:59:05Z2018-09-28T10:59:05Z2016http://hdl.handle.net/1992/13868u729625.pdfinstname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/"Electricity is a commodity that behaves unlike others in the way that cannot be stored cheaply, its transport depends on existent electrical networks, and can be generated from different sources. This makes the price of electricity highly volatile. As a risk hedging strategy, different financial instruments have been developed, among them, options with electric energy as underlying. We developed a methodology for option pricing in electricity markets, taking into account multi seasonal behaviour. Future electricity prices estimation is presented for equatorial countries with similar climate conditions like hydro-dependent energy generation and tropical seasons (e.g. dry season, wet season), affected by El Niño Southern Oscillation. We made a descriptive analysis of the Colombian electricity market. Using mean reversion and mean-reverting jump diffusion models we made a forecast estimation of intra-day (Hourly) electricity prices based on historical spot data from Colombian electricity market..."Magíster en Ingeniería IndustrialMaestría14 hojasapplication/pdfspaUniandesMaestría en Ingeniería IndustrialFacultad de IngenieríaDepartamento de Ingeniería Industrialinstname:Universidad de los Andesreponame:Repositorio Institucional SénecaA methodology for option pricing in electricity markets. Case study : ColombiaTrabajo de grado - Maestríainfo:eu-repo/semantics/masterThesishttp://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/TMEnergía eléctrica - Precios - Investigaciones - ColombiaFijación de precios - Investigaciones - Colombia - Métodos de simulaciónOpciones (Finanzas) - Precios - Investigaciones - ColombiaConfiabilidad (Ingeniería) - Investigaciones - ColombiaIngenieríaPublicationTHUMBNAILu729625.pdf.jpgu729625.pdf.jpgIM Thumbnailimage/jpeg18121https://repositorio.uniandes.edu.co/bitstreams/307f3f83-9849-4eef-821b-9dc851602966/download8eb7155bf70b783fe6b9494e689d7002MD55TEXTu729625.pdf.txtu729625.pdf.txtExtracted texttext/plain36535https://repositorio.uniandes.edu.co/bitstreams/42872f81-5199-4b73-aaed-65ea58e8deec/downloada2230aa5e31051c84efead5bde4bcd0aMD54ORIGINALu729625.pdfapplication/pdf629420https://repositorio.uniandes.edu.co/bitstreams/daaed2c9-8710-4dc6-866f-8221e64d0066/download3f583f5bec00bd97686912223e36d1c8MD511992/13868oai:repositorio.uniandes.edu.co:1992/138682023-10-10 17:03:11.658https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdfopen.accesshttps://repositorio.uniandes.edu.coRepositorio institucional Sénecaadminrepositorio@uniandes.edu.co
dc.title.es_CO.fl_str_mv A methodology for option pricing in electricity markets. Case study : Colombia
title A methodology for option pricing in electricity markets. Case study : Colombia
spellingShingle A methodology for option pricing in electricity markets. Case study : Colombia
Energía eléctrica - Precios - Investigaciones - Colombia
Fijación de precios - Investigaciones - Colombia - Métodos de simulación
Opciones (Finanzas) - Precios - Investigaciones - Colombia
Confiabilidad (Ingeniería) - Investigaciones - Colombia
Ingeniería
title_short A methodology for option pricing in electricity markets. Case study : Colombia
title_full A methodology for option pricing in electricity markets. Case study : Colombia
title_fullStr A methodology for option pricing in electricity markets. Case study : Colombia
title_full_unstemmed A methodology for option pricing in electricity markets. Case study : Colombia
title_sort A methodology for option pricing in electricity markets. Case study : Colombia
dc.creator.fl_str_mv Uriza Antorveza, Pablo Andrés
dc.contributor.advisor.none.fl_str_mv Cabrales Arévalo, Sergio Andrés
dc.contributor.author.none.fl_str_mv Uriza Antorveza, Pablo Andrés
dc.contributor.jury.none.fl_str_mv Villarreal Navarro, Julio Ernesto
Benavides Estévez-Breton, Juan Mauricio
dc.subject.keyword.es_CO.fl_str_mv Energía eléctrica - Precios - Investigaciones - Colombia
Fijación de precios - Investigaciones - Colombia - Métodos de simulación
Opciones (Finanzas) - Precios - Investigaciones - Colombia
Confiabilidad (Ingeniería) - Investigaciones - Colombia
topic Energía eléctrica - Precios - Investigaciones - Colombia
Fijación de precios - Investigaciones - Colombia - Métodos de simulación
Opciones (Finanzas) - Precios - Investigaciones - Colombia
Confiabilidad (Ingeniería) - Investigaciones - Colombia
Ingeniería
dc.subject.themes.none.fl_str_mv Ingeniería
description "Electricity is a commodity that behaves unlike others in the way that cannot be stored cheaply, its transport depends on existent electrical networks, and can be generated from different sources. This makes the price of electricity highly volatile. As a risk hedging strategy, different financial instruments have been developed, among them, options with electric energy as underlying. We developed a methodology for option pricing in electricity markets, taking into account multi seasonal behaviour. Future electricity prices estimation is presented for equatorial countries with similar climate conditions like hydro-dependent energy generation and tropical seasons (e.g. dry season, wet season), affected by El Niño Southern Oscillation. We made a descriptive analysis of the Colombian electricity market. Using mean reversion and mean-reverting jump diffusion models we made a forecast estimation of intra-day (Hourly) electricity prices based on historical spot data from Colombian electricity market..."
publishDate 2016
dc.date.issued.es_CO.fl_str_mv 2016
dc.date.accessioned.none.fl_str_mv 2018-09-28T10:59:05Z
dc.date.available.none.fl_str_mv 2018-09-28T10:59:05Z
dc.type.spa.fl_str_mv Trabajo de grado - Maestría
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identifier_str_mv u729625.pdf
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dc.format.extent.es_CO.fl_str_mv 14 hojas
dc.format.mimetype.es_CO.fl_str_mv application/pdf
dc.coverage.spatial.es_CO.fl_str_mv Bogotá
dc.publisher.none.fl_str_mv Uniandes
dc.publisher.program.es_CO.fl_str_mv Maestría en Ingeniería Industrial
dc.publisher.faculty.es_CO.fl_str_mv Facultad de Ingeniería
dc.publisher.department.es_CO.fl_str_mv Departamento de Ingeniería Industrial
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