Pricing swing options in the electricity market
Prissattning av swing optioner inom elmarknaden Allmant om swing optioner inom elmarknaden I ett kontrakt for kop utav elektricitet ar det specicerat hur mycket som kommer att levereras och nar, och det gar oftast inte att andra pa. Om innehavaren av ett sadant kontrakt skulle vilja oka eller minska leveransen av elektricitet under perioden for kontraktet, behover den kopa eller salja elektricitetThe thesis deals with how to price swing options in the electricity market by using a least squares Monte Carlo method. This is a simulation method which uses a backwards moving algorithm where the optimal decision is calculated at every time step. Regression is used for the optimal decision and in this thesis both a polynomial regression and a cubic smoothing spline are used. They are both shown
