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Document type:
Zeitschriftenaufsatz 
Author(s):
Bannör, K. F.; Kiesel, R.; Nazarova, A.; Scherer, M. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Parametric Model Risk and Power Plant Valuation 
Abstract:
We consider the model risk inherent in the valuation procedure of fossil power plants. To capture model risk we use a methodology recently established in a series of papers, see Cont (2006); Bannör and Scherer (2013). As gas-fired power plants are seen as flexible and low-carbon sources of electricity which are important building blocks in terms of the switch to a low-carbon energy generation, we consider the model risk in this asset class in detail. Our findings reveal that spike risk is by fa...    »
 
Keywords:
Power Plant valuation, model risk, energy markets, spark spread option 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Energy Economics 
Year:
2016 
Pages contribution:
423-434 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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