2000 character limit reached
Structural price model for electricity coupled markets (1704.06027v1)
Published 20 Apr 2017 in q-fin.MF
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 and forward prices, and of the values of transmission rights.