Dynamic pricing of wind futures
✍ Scribed by Fred Espen Benth; Jūratė Šaltytė Benth
- Book ID
- 108120947
- Publisher
- Elsevier Science
- Year
- 2009
- Tongue
- English
- Weight
- 633 KB
- Volume
- 31
- Category
- Article
- ISSN
- 0140-9883
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
he prices observed for stock index futures have surprised both academics and T practitioners. The price structure, which gives the relation between the futures and spot prices as a function of the time to maturity, is generally flatter than simple arbitrage models predict. In fact, the futures price
Index (USDX) is a geometric weighted average of ten T major foreign exchange (FX) rates, expressed in index form relative to the geometric weighted average of March 1973 (the base).\* Formally, if we denote by Si and Bi the spot FX rates of country i expressed in "American terms" (U.S. dollars per f
## Smith, Hol Toles, and anonymous referees are gratefully acknowledged. We also acknowledge the valuable research assistance of Terrance Jalbert. Finally, we wish to thank Bill McLaughlin and The Bond Buyer for supplying us with the underlying municipal security prices used in this study.
## Abstract This study examines the optimal design of a futures hedge program for the competitive firm under output price uncertainty. All futures contracts are unbiased and marked to market in that they require interim cash settlement of gains and losses. The futures price dynamics follows a first