Pricing option contracts on electricity remains methodologically challenging, with a lack of clearly defined and robust methods. In particular, little is known about pricing options in Brazilian energy markets, despite their economic significance. Using weekly price data (R$/MWh) on four...

Pricing option contracts on electricity remains methodologically challenging, with a lack of clearly defined and robust methods. In particular, little is known about pricing options in Brazilian energy markets, despite their economic significance. Using weekly price data (R$/MWh) on four...