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Summary We consider the valuation of contracts of electrical energy supply with optionalities. After discussing appropriate stochastic programming models and presenting especially suited solution algorithms, a set of price scenarios is simulated based on a probabilistic model of the electricity spot market price at the EEX. We determine empirically upper and lower bounds for the stochastic optimization...
We propose a double auction mechanism for the exchange of leveraged assets and bonds in an agent based model. In this framework we validate recent results in general equilibrium theory about endogenous leverage and its consequences for asset pricing. We find that the institutional details of exchange are critical for a good match between the theoretical equilibrium state and the final state of the...
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