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Title:

Parametric Model Risk and Power Plant Valuation

Document type:
Zeitschriftenaufsatz
Author(s):
Bannör, K. F.; Kiesel, R.; Nazarova, A.; Scherer, M.
Non-TUM Co-author(s):
ja
Cooperation:
international
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
Fulltext / DOI:
doi:10.1016/j.eneco.2016.08.004
Status:
Verlagsversion / published
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Key publication:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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