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Document Type : Latin Dissertation
Language of Document : English
Record Number : 152963
Doc. No : ET24755
Main Entry : Likaa Lee Yousef
Title Proper : Derivation and Empirical Testing of Alternative Pricing Models in Alberta's Electricity MarketPOMPES PAR TRANSITIONS MULTIPLES
Note : This document is digital این مدرک بصورت الکترونیکی می باشد
Abstract : This paper examines alternative option pricing models used to forecast electricity prices inAlberta. Specifically, we derive and empirically test the lognormal price model and thelog price one-factor mean reverting model. It is found that, due to the limitingassumptions of the two models, they both fail to predict accurately the price of electricity.In addition, it is also found that, a comparison of the predictive power of the two models isdifficult due to the conflicting results obtained from the empirical tests. Although thesetwo models are very successful at forecasting stock prices, they are not adequate to forecastelectricity prices due to the lack of liquidity in the Alberta electricity market..
Subject : Electericl tess
: برق
electronic file name : TL48966.pdf
Title and statement of responsibility and : Derivation and Empirical Testing of Alternative Pricing Models in Alberta's Electricity MarketPOMPES PAR TRANSITIONS MULTIPLES [Thesis]
 
 
 
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