Economics, Econometrics and Finance
4 years ago

Implied volatility in Nordic power market reveals hidden risk premium.

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Energy Economics
A comparison of implied and realized volatility in the Nordic power forward market
Ole Henrik Birkelund, Erik Haugom, Péter Molnár, Martin Opdal, Sjur Westgaard

Paper Summary

The article compares implied and realized volatility in the Nordic power forward market. They found that implied volatility tends to be higher than realized volatility, suggesting that option traders charge a risk premium. This aligns with findings from other markets.

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