• English
  • Deutsch
  • Log In
    Password Login
    Research Outputs
    Fundings & Projects
    Researchers
    Institutes
    Statistics
Repository logo
Fraunhofer-Gesellschaft
  1. Home
  2. Fraunhofer-Gesellschaft
  3. Artikel
  4. Pricing German Energiewende products: Intraday cap/floor futures
 
  • Details
  • Full
Options
2019
Journal Article
Title

Pricing German Energiewende products: Intraday cap/floor futures

Abstract
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.
Author(s)
Hinderks, Wieger
Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM  
Wagner, Andreas
Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM  
Journal
Energy Economics  
Open Access
File(s)
Download (1.21 MB)
Rights
CC BY 4.0: Creative Commons Attribution
DOI
10.24406/publica-r-257483
10.1016/j.eneco.2019.04.005
Language
English
Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM  
Keyword(s)
  • intraday cap/floor future

  • ID3 price index

  • German intraday market

  • Energiewende product

  • Hull-White model Factor model

  • Cookie settings
  • Imprint
  • Privacy policy
  • Api
  • Contact
© 2024