Due to the non-storability of electricity and the resulting lack of arbitrage-based arguments to price electricity forward contracts, these exhibit a significant time-varying risk premium. Using EEX data during the introduction of Emission certificates and the German "Atom Moratorium" we show...

We derive risk-neutral option price formulas for plain-vanilla and exotic electricity futures derivatives on the basis of diverse arithmetic multi-factor Ornstein-Uhlenbeck spot price models admitting seasonality. In these setups, we take additional forward-looking knowledge on future price...

In this article we derive risk-neutral option price formulas for both plain-vanilla and exotic electricity futures derivatives on the basis of diverse arithmetic multi-factor Ornstein-Uhlenbeck spot price models admitting seasonality, while – in order to avoid “information...