Electricity Real Options Valuation
Abstract
Description
In this paper a real option approach for the valuation of real assets is presented. Two continuous time models used for valuation are described: geometric Brownian motion model and interest rate model. The valuation for electricity spread option under Vasicek interest model is placed and the formulas for parameter estimators are calculated. The theoretical part is confronted with real data from electricity market.
To be published in Acta Phys. Pol. B
To be published in Acta Phys. Pol. B