DE MAERE D’AERTRYCKE, Gauthier; SMEERS, Yves - Center for Operations Research and Econometrics (CORE), … - 2009
The pricing of contingent claims in the wholesale power market is a controversial topic. Important challenges come from the non-storability of electricity and the number of parameters that impact the market. We propose an equilibrium model based on the fundamentals of power generation. In a...