๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets

โœ Scribed by Hendrik Bessembinder; Michael L. Lemmon


Book ID
110693121
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
898 KB
Volume
57
Category
Article
ISSN
0022-1082

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Cross-hedging and forward-contract prici
โœ Chi-Keung Woo; Ira Horowitz; Arne Olson; Andrew DeBenedictis; David Miller; Jack ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 184 KB

This paper develops a linear regression model for using actively traded NYMEX natural gas futures as a cross-hedge against electricity spot-price risk in the Pacific Northwest and for pricing the forward contracts in the presence of temperature and hydro risks. Our approach comports with reality and

Nonconvex optimization for pricing and h
โœ A. Balbas; S. Mayoral ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 993 KB

The paper deals with imperfect financial markets and provides new methods to overcome many inefficiencies caused by frictions. Transaction costs are quite general and far from linear or convex. The concepts of pseudoarbitrage and efficiency are introduced and deeply analyzed by means of both scalar