An Optimal Geometric Hedging Model in the Power Market Environment

✍ Scribed by Wen Yuan Lin; Carlo Garcia

• Publisher: Elsevier Science
• Year: 2001
• Tongue: English
• Weight: 191 KB
• Volume: 14
• Category: Article
• ISSN: 1040-6190
• DOI: 10.1016/s1040-6190(01)00205-6

✦ Synopsis

Comparing individual cases shows that we could lower the average downside reduction.