UK gas markets : the market price of risk and applications to multiple interruptible supply contracts

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dc.contributor.author Cartea, Álvaro
dc.contributor.author Williams, Thomas
dc.date.accessioned 2011-09-20T18:10:12Z
dc.date.available 2011-09-20T18:10:12Z
dc.date.issued 2007-03-05
dc.identifier.uri http://hdl.handle.net/10016/12124
dc.description.abstract We employ the Schwartz and Smith (2000) model to explore the dynamics of the UK gas markets. We discuss in detail the short-term and long-term market prices of risk borne by the market players and how deviations from expected cyclical storage affect the short-term market price of risk. Finally, we illustrate an application of the model by pricing interruptible supply contracts that are currently traded in the UK
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.hasversion http://hdl.handle.net/10016/12175
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Interruptible supply contracts
dc.subject.other Gas markets
dc.subject.other Commodities
dc.subject.other Market price of short-term and long-term risk
dc.subject.other Multi-exercise Bermudan options
dc.subject.other Convenience yield
dc.title UK gas markets : the market price of risk and applications to multiple interruptible supply contracts
dc.type workingPaper
dc.subject.jel G12
dc.subject.jel C61
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
dc.type.version submittedVersion
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