A methodology for electricity option pricing. case of study: colombia
Electricity is a commodity like no other in the sense that there are no efficient ways of storing it, its transportation is limited by existent electrical networks and its production can be made by different methods. This specific characteristics make electricity prices particularly volatile. Due to...
- Autores:
-
Casado Sánchez, Manuel José
- Tipo de recurso:
- Fecha de publicación:
- 2021
- Institución:
- Universidad de los Andes
- Repositorio:
- Séneca: repositorio Uniandes
- Idioma:
- eng
- OAI Identifier:
- oai:repositorio.uniandes.edu.co:1992/51007
- Acceso en línea:
- http://hdl.handle.net/1992/51007
- Palabra clave:
- Energía eléctrica
Sector eléctrico
Sistemas de energía eléctrica
Empresas eléctricas
Ingeniería
- Rights
- openAccess
- License
- https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdf
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A methodology for electricity option pricing. case of study: colombia |
| title |
A methodology for electricity option pricing. case of study: colombia |
| spellingShingle |
A methodology for electricity option pricing. case of study: colombia Energía eléctrica Sector eléctrico Sistemas de energía eléctrica Empresas eléctricas Ingeniería |
| title_short |
A methodology for electricity option pricing. case of study: colombia |
| title_full |
A methodology for electricity option pricing. case of study: colombia |
| title_fullStr |
A methodology for electricity option pricing. case of study: colombia |
| title_full_unstemmed |
A methodology for electricity option pricing. case of study: colombia |
| title_sort |
A methodology for electricity option pricing. case of study: colombia |
| dc.creator.fl_str_mv |
Casado Sánchez, Manuel José |
| dc.contributor.advisor.none.fl_str_mv |
Cabrales Arévalo, Sergio Andrés |
| dc.contributor.author.none.fl_str_mv |
Casado Sánchez, Manuel José |
| dc.contributor.jury.none.fl_str_mv |
Villarreal Navarro, Julio Ernesto Bautista Mena, Rafael de Jesús |
| dc.subject.armarc.none.fl_str_mv |
Energía eléctrica Sector eléctrico Sistemas de energía eléctrica Empresas eléctricas |
| topic |
Energía eléctrica Sector eléctrico Sistemas de energía eléctrica Empresas eléctricas Ingeniería |
| dc.subject.themes.none.fl_str_mv |
Ingeniería |
| description |
Electricity is a commodity like no other in the sense that there are no efficient ways of storing it, its transportation is limited by existent electrical networks and its production can be made by different methods. This specific characteristics make electricity prices particularly volatile. Due to this volatility, risk hedging strategies, such as financial options, have been employed. This paper presents a methodology for option pricing with electric energy as underlying asset, taking into account multi-seasonal behavior. Future electricity prices are presented for equatorial countries that have a hydro-dependent electricity production and tropical season (e.g. dry seasons and seasons of wetness) which are mainly affected by the El Ni?no Southern Oscillation (ENSO). Mean reversion processes are used to simulate the hourly spot prices of electric energy, based on the historical prices of the Colombian electricity market. Discussions about the seasonal and climatic effects that affect electricity prices are presented. The results prove that taking into account the effect that the ENSO phenomena make electricity price modeling more accurate. Finally, the Esscher transform is used to price electricity derivatives using the historical electricity prices in the Colombian stock exchange, which are collected by XM. |
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2021 |
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2021-08-10T18:06:04Z |
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2021-08-10T18:06:04Z |
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2021 |
| dc.type.spa.fl_str_mv |
Trabajo de grado - Maestría |
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http://purl.org/coar/version/c_970fb48d4fbd8a85 |
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info:eu-repo/semantics/masterThesis |
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Text |
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http://purl.org/redcol/resource_type/TM |
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http://hdl.handle.net/1992/51007 |
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22766.pdf |
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reponame:Repositorio Institucional Séneca |
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repourl:https://repositorio.uniandes.edu.co/ |
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http://hdl.handle.net/1992/51007 |
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22766.pdf instname:Universidad de los Andes reponame:Repositorio Institucional Séneca repourl:https://repositorio.uniandes.edu.co/ |
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eng |
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eng |
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https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdf |
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info:eu-repo/semantics/openAccess |
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openAccess |
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30 hojas |
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application/pdf |
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Universidad de los Andes |
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Maestría en Ingeniería Industrial |
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Facultad de Ingeniería |
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Departamento de Ingeniería Industrial |
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Universidad de los Andes |
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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 Andrésvirtual::8489-1Casado Sánchez, Manuel José2c090325-dbc9-41f2-ab19-fafda127c9fa500Villarreal Navarro, Julio ErnestoBautista Mena, Rafael de Jesús2021-08-10T18:06:04Z2021-08-10T18:06:04Z2021http://hdl.handle.net/1992/5100722766.pdfinstname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/Electricity is a commodity like no other in the sense that there are no efficient ways of storing it, its transportation is limited by existent electrical networks and its production can be made by different methods. This specific characteristics make electricity prices particularly volatile. Due to this volatility, risk hedging strategies, such as financial options, have been employed. This paper presents a methodology for option pricing with electric energy as underlying asset, taking into account multi-seasonal behavior. Future electricity prices are presented for equatorial countries that have a hydro-dependent electricity production and tropical season (e.g. dry seasons and seasons of wetness) which are mainly affected by the El Ni?no Southern Oscillation (ENSO). Mean reversion processes are used to simulate the hourly spot prices of electric energy, based on the historical prices of the Colombian electricity market. Discussions about the seasonal and climatic effects that affect electricity prices are presented. The results prove that taking into account the effect that the ENSO phenomena make electricity price modeling more accurate. Finally, the Esscher transform is used to price electricity derivatives using the historical electricity prices in the Colombian stock exchange, which are collected by XM.La electricidad es una mercancía como ninguna otra en el sentido de que no existen formas eficientes de almacenarla, su transporte está limitado por las redes eléctricas existentes y su producción puede realizarse por diferentes métodos. Estas características específicas hacen que los precios de la electricidad sean particularmente volátiles. Debido a esta volatilidad, se han empleado estrategias de cobertura de riesgos, como opciones financieras. Este artículo presenta una metodología para la valoración de opciones con energía eléctrica como activo subyacente, teniendo en cuenta el comportamiento multiestacional. Los precios futuros de la electricidad se presentan para los países ecuatoriales que tienen una producción de electricidad dependiente de la energía hidroeléctrica y estaciones tropicales (por ejemplo, estaciones secas y estaciones húmedas) que se ven principalmente afectadas por El Niño Southern Oscillation (ENSO). Los procesos de reversión a la media se utilizan para simular los precios spot horarios de la energía eléctrica, con base en los precios históricos del mercado eléctrico colombiano. Se presentan discusiones sobre los efectos estacionales y climáticos que afectan los precios de la electricidad. Los resultados demuestran que, teniendo en cuenta el efecto que ha tenido el fenómeno ENSO, la modelización del precio de la electricidad es más precisa. Finalmente, la transformada de Esscher se utiliza para valorar los derivados de la electricidad utilizando los precios históricos de la electricidad en la bolsa de valores colombiana, que son recolectados por XM.Magíster en Ingeniería IndustrialMaestría30 hojasapplication/pdfengUniversidad de los AndesMaestría en Ingeniería IndustrialFacultad de IngenieríaDepartamento de Ingeniería IndustrialA methodology for electricity option pricing. case of study: colombiaTrabajo de grado - Maestríainfo:eu-repo/semantics/masterThesishttp://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/TMEnergía eléctricaSector eléctricoSistemas de energía eléctricaEmpresas eléctricasIngeniería201534174Publication8a8a52da-a97b-45a5-892d-619fbc88a597virtual::8489-18a8a52da-a97b-45a5-892d-619fbc88a597virtual::8489-1https://scienti.minciencias.gov.co/cvlac/visualizador/generarCurriculoCv.do?cod_rh=0001385980virtual::8489-1TEXT22766.pdf.txt22766.pdf.txtExtracted texttext/plain57776https://repositorio.uniandes.edu.co/bitstreams/d00a0e35-8d4c-4048-aa77-e9585fd153f4/downloade9d85aeb78ddbb5c3bfd0f0b977ceff2MD54ORIGINAL22766.pdfapplication/pdf695466https://repositorio.uniandes.edu.co/bitstreams/d3c5e1ee-ad94-41e1-9978-2e914fab0fed/download7be348a1b3b0c6c7c50fd536c61fad63MD51THUMBNAIL22766.pdf.jpg22766.pdf.jpgIM Thumbnailimage/jpeg14248https://repositorio.uniandes.edu.co/bitstreams/d5e4c858-a442-462a-b15a-89d6c7618b48/downloadbee2b871961c87847bab838519c797fcMD551992/51007oai:repositorio.uniandes.edu.co:1992/510072024-03-13 13:41:32.46https://repositorio.uniandes.edu.co/static/pdf/aceptacion_uso_es.pdfopen.accesshttps://repositorio.uniandes.edu.coRepositorio institucional Sénecaadminrepositorio@uniandes.edu.co |