GARCH-based put option valuation to maximize benefit of wind investors
作者： Javier Contreras , Yeny E. Rodríguez
DOI: 10.1016/J.APENERGY.2014.08.085
关键词: Put option 、 Valuation (finance) 、 Wind power 、 Autoregressive conditional heteroskedasticity 、 Financial economics 、 Martingale (probability theory) 、 Volatility (finance) 、 Electricity market 、 Economics 、 Heteroscedasticity
摘要: A method based on Empirical Martingale Simulation (EMS) is presented to evaluate investments in wind energy. Risk-neutral prices are calculated, where electricity market modeled using an ARIMA–GARCH which shows conditional heteroskedasticity. The values of the put options calculated a week ahead and it observed that producers invest can hedge against price risk also maximize their benefits. use Monte Carlo simulation with EMS periods high volatility especially useful for investors facing volatilities order improve returns. model applied Colombian market.
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