The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
The European Union strives towards an integrated European electricity market. Achieving this objective while preserving a zonal pricing approach in combination with market coupling, requires an efficient cross-border transmission capacity calculation and allocation mechanism. In this context, a new flow-based algorithm is developed in the CWE region for the day-ahead time frame. The idea is to accurately...
At first, based on B-S Options Pricing Formula this paper deduce the discrete Options Pricing formula. Comparing the price determined by B-S Option pricing formula and the data simulated by Monte Carlo experiment, we can deduce that the above conclusion is correct.
In this paper, by modifying price behavior of risk asset and considering randomization of interest rates, broaden the two basic assumptions of Black-Scholes option pricing model. By martingale method, pricing formulas of European call option and put option, and parity are deduced, and finally the pricing formula of European option is also given based on the risk asset paying continuous dividends.
Stock markets failed to predict the current decline of the economy. In 2007, almost all the major indices were performing well. However, clearly something bad was about to occur. In this paper we shall show that by exploring the information contained in option prices one can find a different story. A key tool introduced in this paper is a new quantity which measures the Bullish or Bearish nature of...
We continue our exploration in the use of option contracts as a means of managing and controlling inventories in a retail market. We propose a new class of American put option contracts on inventories of retail goods, where the retailer can exercise the option at any time during the contract period, thus requiring that the option writer purchase any unsold inventory at a specified strike price. However,...
This paper, based on the perspective of financial option, introduces the risk pricing into the credit guarantee field and creates the guarantee pricing model. Concerning the most contribution, it derives the Black-Scholes theory from the finance perspective,and also gives the application method to compute the guarantee price. It develops and deepens the theory of credit guarantee pricing, which possesses...
Following initiatives on the day-ahead and intra-day stage, a cross-border approach towards real-time balancing constitutes a logical next step in the process towards an Internal Electricity Market (IEM) in Europe. Determining the real-time price for energy on which market parties need to be able to rely for last resort supply, well designed cross-border balancing markets are a key element in an efficiently...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.