Recent energy shortfalls in renewables-dominated electricity markets call for a mechanism to ensure demand is met under …--caused by its interaction with fixed-price forward contracts for energy. Large generators can trigger the option exercise … respond to these incentives. We analyze a standardized energy contracting approach to long-term resource adequacy that does …

Given a European derivative security with an arbitrary payoff function and a corresponding set of" underlying … securities on which the derivative security is based, we solve the dynamic replication problem: find a" self-financing dynamic …

elasticity of variance, stochastic volatility, and jump-diffusion models. Since options are derivative assets, the central …

This paper develops a method for option hedging which is consistent with time-varying preferences and probabilities … one-day ahead forecast of derivative price distributions and minimum variance hedge ratios. Empirical results suggest that … the spread between implied and objective volatilities. Hedging results reveal that typical hedging techniques for out …

This paper addresses the issue of hedging option positions when the underlying asset exhibits stochastic volatility. By … parameterizing the volatility process as GARCH, and utilizing risk- neutral valuation, we estimate hedging parameters (delta and … gamma) using Monte-Carlo simulation. We estimate hedging parameters for options on the Standard and Poor's 500 index, a bond …