dc.contributor.author | Benth, Fred Espen | |
dc.contributor.author | Eriksson, Marcus Karl Viren | |
dc.contributor.author | Westgaard, Sjur | |
dc.date.accessioned | 2018-03-05T11:42:59Z | |
dc.date.available | 2018-03-05T11:42:59Z | |
dc.date.created | 2017-08-09T13:42:50Z | |
dc.date.issued | 2017 | |
dc.identifier.citation | Journal of Energy Markets. 2017, 10 (2), 1-39. | nb_NO |
dc.identifier.issn | 1756-3615 | |
dc.identifier.uri | http://hdl.handle.net/11250/2488553 | |
dc.description.abstract | We 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.iso | eng | nb_NO |
dc.publisher | Incisive Media | nb_NO |
dc.title | Optimal management of green certificates in the Swedish-Norwegian market | nb_NO |
dc.type | Journal article | nb_NO |
dc.description.version | submittedVersion | nb_NO |
dc.source.pagenumber | 1-39 | nb_NO |
dc.source.volume | 10 | nb_NO |
dc.source.journal | Journal of Energy Markets | nb_NO |
dc.source.issue | 2 | nb_NO |
dc.identifier.doi | 10.21314/JEM.2017.159 | |
dc.identifier.cristin | 1485192 | |
dc.relation.project | Norges forskningsråd: 239019 | nb_NO |
dc.relation.project | Norges forskningsråd: 237674 PETROSAM | nb_NO |
dc.description.localcode | This is a submitted manuscript of an article published by Incisive Media in Journal of Energy Markets, 14 JUNE 2017 | nb_NO |
cristin.unitcode | 194,60,25,0 | |
cristin.unitname | Institutt for industriell økonomi og teknologiledelse | |
cristin.ispublished | true | |
cristin.fulltext | preprint | |
cristin.fulltext | postprint | |
cristin.qualitycode | 1 | |