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Options for Short-Term Price Determination in the Brazilian Wholesale Electricity Market: Report Prepared for Camara de Comercialização de Energia Elétrica (CCEE)
Price Determination Brazilian Wholesale Electricity
2015/7/31
This report was commissioned by the Camara de Comercialização de Energia Elétrica
(CCEE), the market operator for the Brazilian electricity supply industry, to study the options for
shor...
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Pricing options illiquid assets liquid proxies utility indifference dynamic-static hedging
2012/6/4
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. W...
The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels
Valuation of Clean Spread Options Linking Electricity Emissions Fuels Pricing of Securities
2012/6/4
The purpose of the paper is to present a new pricing method for clean spread options, and to illustrate its main features on a set of numerical examples produced by a dedicated computer code. The nove...
Pricing Bermudan options using nonparametric regression: optimal rates of convergence for lower estimates
Bermudan options Nonparametric regression Boundary condition；Suboptimal stopping rule
2010/11/1
The problem of pricing Bermudan options using Monte Carlo and a nonparametric regression is considered. We derive optimal nonasymptotic bounds for a lower biased estimate based on the suboptimal stopp...
Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations
Pricing Asian Basket Options Quasi-Monte Carlo Simulations
2010/11/1
In this article we consider the problem of pricing and hedging high-dimensional
Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities...
Robust pricing and hedging of double no-touch options
Robust pricing double no-touch options
2010/10/29
Double no-touch options, contracts which pay out a fixed amount provided an underlying asset remains within a given interval, are commonly traded, particularly in FX markets. In this work, we establis...
We apply a quadratic hedging scheme developed by Follmer, Schweizer, and Sondermann to
European contingent products whose underlying asset is modeled using a GARCH process and show
that local risk-...