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This paper analyzes the valuation of day-ahead Physical Transmission Rights (PTRs) on the German-Dutch interconnector. From a financial perspective, PTRs are options written on the difference between the German and Dutch hourly electricity prices. We propose a model for the valuation of...
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We present a new method to measure the intraday relationship between movements of implied volatility smiles and stock … options from 1995 to 2011, we show that, on average, about 99% of the intraday variation of implied volatility can be … volatility smiles is generally not consistent with traders' rules of thumb such as the sticky strike or sticky delta rule. On …
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There is much discussion about derivatives at central banks. The main focus is on questions about the impact of the growing use of derivative instruments on the stability of the financial markets and the effectiveness ofmonetary policy measures. Irrespective ofthe answers, the information...
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