Ocenění derivátů na elektřinu na energetické burze Nord Pool

Abstract

The aim of the master thesis is verification of valuing methods of electricity derivatives, namely on valuing of option derivatives written on forward electricity prices which are traded on the Scandinavian energy exchange Nord Pool. The thesis is divided into three basic chapters. The first chapter characterizes the Nordic electricity market with its specifics. There is investigated the Nordic power exchange with various contract which are traded there. The second chapter concentrates on modeling approaches and option valuing methods. There are described stochastic price processes, namely geometric Brownian motion, mean reversion processes and jump diffusion processes. Black forward option price mechanism and simulation Monte Carlo like option valuing approaches are discussed as well. In third chapter theoretically described pricing methods are employed on real market data on Nord Pool power exchange in order to valuate European call and put forward options that are traded on Scandinavian power market.