RT Generic
T1 UK gas markets : the market price of risk and applications to multiple interruptible supply contracts
A1 Cartea, Álvaro
A1 Williams, Thomas
AB We employ the Schwartz and Smith (2000) model to explore the dynamics of theUK gas markets. We discuss in detail the short-term and long-term market prices ofrisk borne by the market players and how deviations from expected cyclical storageaffect the short-term market price of risk. Finally, we illustrate an application of themodel by pricing interruptible supply contracts that are currently traded in the UK
YR 2007
FD 2007-03-05
LK https://hdl.handle.net/10016/12124
UL https://hdl.handle.net/10016/12124
LA eng
DS e-Archivo
RD 1 sept. 2024