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A structured financial product applied to renewable energies

  • Received: 31 January 2019 Accepted: 25 March 2019 Published: 01 April 2019
  • Faced with the globally spread increase in electricity consumption, renewable energies are rushing to set themselves as leaders on the already ongoing pnext energy transitionq. It is thus relevant to investigate a new strategy that allows retail investors, producers and financial institutions to benefit from this transition, without jeopardizing consumers, through the creation of a socially responsible structured financial product applied to electricity generation from renewable sources. This paper defines a strategy for the creation of such financial product with special emphasis on the variable element, by further exploring the use of option contracts as the derivative component of our product. To cope with that, we propose the integration of continuous models (such as Black-Scholes) with some of the assumptions of discretized ones to capture and predict the spot price movements in the Iberian energy market. This way we reach for simplicity while capturing the most important moments of preal lifeq markets, defined by matching both statistical and trajectorial moments using a jump-diffusion mean-reverting model. We conclude that there is in fact a market from which everyone can benefit, but its success is subject to transparency and openness.

    Citation: Manuel Padeira Navarro, Margarida Catalão-Lopes. A structured financial product applied to renewable energies[J]. Green Finance, 2019, 1(1): 82-93. doi: 10.3934/GF.2019.1.82

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  • Faced with the globally spread increase in electricity consumption, renewable energies are rushing to set themselves as leaders on the already ongoing pnext energy transitionq. It is thus relevant to investigate a new strategy that allows retail investors, producers and financial institutions to benefit from this transition, without jeopardizing consumers, through the creation of a socially responsible structured financial product applied to electricity generation from renewable sources. This paper defines a strategy for the creation of such financial product with special emphasis on the variable element, by further exploring the use of option contracts as the derivative component of our product. To cope with that, we propose the integration of continuous models (such as Black-Scholes) with some of the assumptions of discretized ones to capture and predict the spot price movements in the Iberian energy market. This way we reach for simplicity while capturing the most important moments of preal lifeq markets, defined by matching both statistical and trajectorial moments using a jump-diffusion mean-reverting model. We conclude that there is in fact a market from which everyone can benefit, but its success is subject to transparency and openness.


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