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Pricing German Energiewende products: Intraday cap/floor futures

: Hinderks, Wieger; Wagner, Andreas

Volltext urn:nbn:de:0011-n-5435581 (1.2 MByte PDF)
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Erstellt am: 10.5.2019

Energy Economics 81 (2019), S.287-296
ISSN: 0140-9883
Zeitschriftenaufsatz, Elektronische Publikation
Fraunhofer ITWM ()
intraday cap/floor future; ID3 price index; German intraday market; Energiewende product; Hull-White model Factor model

In this paper, we introduce a model for the pricing of German intraday cap/floor futures, introduced by the EEX in 2015. We give a thorough overview of the German intraday market and in particular introduce the ID3 price index, which is the underlying for intraday cap/floor futures. To price these derivatives, we propose a Hull-White model from interest rate theory with seasonality from futures prices. We apply our theoretical results to market data and conduct an empirical analysis involving the initial fit and empirical distribution of intraday cap futures prices.