Pricing German Energiewende products: Intraday cap/floor futures
研究了德国EEX交易所2015年推出的日内上限/下限期货的定价模型，基于Hull-White模型并考虑季节性，用市场数据进行了实证分析。
In this paper, we introduce a model for the pricing of German intraday cap/floor futures, introduced by the EEX in 2015. We give a thorough overview of the German intraday market and in particular introduce the ID3 price index, which is the underlying for intraday cap/floor futures. To price these derivatives, we propose a Hull-White model from interest rate theory with seasonality from futures prices. We apply our theoretical results to market data and conduct an empirical analysis involving the initial fit and empirical distribution of intraday cap futures prices.