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dc.contributor.authorBenth, Fred Espen
dc.contributor.authorEriksson, Marcus Karl Viren
dc.contributor.authorWestgaard, Sjur
dc.date.accessioned2018-03-05T11:42:59Z
dc.date.available2018-03-05T11:42:59Z
dc.date.created2017-08-09T13:42:50Z
dc.date.issued2017
dc.identifier.citationJournal of Energy Markets. 2017, 10 (2), 1-39.nb_NO
dc.identifier.issn1756-3615
dc.identifier.urihttp://hdl.handle.net/11250/2488553
dc.description.abstractWe propose and investigate a valuation model for the income of selling tradeable green certificates (TGCs) in the Swedish–Norwegian market, formulated as a singular stochastic control problem. Our model takes into account the production rate of renewable energy from a “typical” plant, the price of TGCs and the cumulative amount of certificates sold.We assume that the production rate has a dynamics given by an exponential Ornstein–Uhlenbeck process, and the logarithmic TGC price has a dynamics given by a Lévy process. For this class of dynamics, we find optimal decision rules for the state variables and a closed-form solution to the control problem. A case study of ICAP prices and wind production data from Denmark backs up our model choice and shows the relevance of this pricing approach.nb_NO
dc.language.isoengnb_NO
dc.publisherIncisive Medianb_NO
dc.titleOptimal management of green certificates in the Swedish-Norwegian marketnb_NO
dc.typeJournal articlenb_NO
dc.description.versionsubmittedVersionnb_NO
dc.source.pagenumber1-39nb_NO
dc.source.volume10nb_NO
dc.source.journalJournal of Energy Marketsnb_NO
dc.source.issue2nb_NO
dc.identifier.doi10.21314/JEM.2017.159
dc.identifier.cristin1485192
dc.relation.projectNorges forskningsråd: 239019nb_NO
dc.relation.projectNorges forskningsråd: 237674 PETROSAMnb_NO
dc.description.localcodeThis is a submitted manuscript of an article published by Incisive Media in Journal of Energy Markets, 14 JUNE 2017nb_NO
cristin.unitcode194,60,25,0
cristin.unitnameInstitutt for industriell økonomi og teknologiledelse
cristin.ispublishedtrue
cristin.fulltextpreprint
cristin.fulltextpostprint
cristin.qualitycode1


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