论文标题
通过不可观察的内在电价统一存储理论和风险溢价
Unifying the theory of storage and the risk premium by an unobservable intrinsic electricity price
论文作者
论文摘要
在本文中，我们引入了一个新概念，用于通过引入不可观察的内在电价$ P（τ）$来建模电价。我们使用它将古典存储理论与风险溢价的概念联系起来。我们得出了所有普通合同的价格，例如盘中现货价格，日期现货价格和期货价格。最后，我们提出了一个从结构模型类别中的明确模型，并进行了经验分析，我们发现总体负面风险溢价。
In this paper we introduce a new concept for modelling electricity prices through the introduction of an unobservable intrinsic electricity price $p(τ)$. We use it to connect the classical theory of storage with the concept of a risk premium. We derive prices for all common contracts such as the intraday spot price, the day-ahead spot price, and futures prices. Finally, we propose an explicit model from the class of structural models and conduct an empirical analysis, where we find an overall negative risk premium.
