(Universidad Icesi, 2014-01-01) Macías Villalba, Gloría Inés; Díaz Contreras, Jhon Alexis; Luna González, Edgar
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
