TY - JOUR
T1 - Estrategia de cobertura con productos derivados para el mercado energético colombiano
AU - Díaz Contreras, Jhon Alexis
AU - Villalba, Gloría Inés Macías
AU - González, Edgar Luna
N1 - Publisher Copyright:
© 2012 Universidad ICESI. Published by Elsevier España, S.L. All rights reserved.
PY - 2014
Y1 - 2014
N2 - The development of the Colombian wholesale energy market has currently allowed it to trade electricity futures in local capital markets. This work aims to design a derivative, which has the price of electricity as the underlying. For this, we analyzed the time series of electricity price volatility modeling, and from this, an exotic barrier-type option was designed that shows how to use this type of financial products to cover risks from market agents.
AB - The development of the Colombian wholesale energy market has currently allowed it to trade electricity futures in local capital markets. This work aims to design a derivative, which has the price of electricity as the underlying. For this, we analyzed the time series of electricity price volatility modeling, and from this, an exotic barrier-type option was designed that shows how to use this type of financial products to cover risks from market agents.
KW - Colombian electricity market
KW - Electricity derivatives
KW - Spot price
KW - Volatility
UR - http://www.scopus.com/inward/record.url?scp=85034861839&partnerID=8YFLogxK
U2 - 10.1016/j.estger.2014.02.008
DO - 10.1016/j.estger.2014.02.008
M3 - Artículo Científico
AN - SCOPUS:85034861839
SN - 0123-5923
VL - 30
SP - 55
EP - 64
JO - Estudios Gerenciales
JF - Estudios Gerenciales
IS - 130
ER -