Now showing items 1-3 of 3
Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming
We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a "λ gain-loss ratio opportunity". Pricing results somewhat different from, but ...
Organization and functioning of liberalized electricity markets: An overview of the Dutch market
(Elsevier Ltd, 2015)
Abstract In this paper, we examine the organization and the functioning of the Dutch electricity market. First we describe the organization of the Dutch electricity supply chain and the role of the main market participants ...
Bidding structure, market efficiency and persistence in a multi-time tariff setting
The purpose of this study is to examine the fractal dynamics of day ahead electricity prices by using parametric and semi parametric approaches for each time zone in a multi-time tariff setting in the framework of bidding ...