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In this paper, we present our study on a hybrid stochastic volatility model incorporating local volatility for pricing options in the foreign exchange (FX) market. The hybrid stochastic-local volatility model (SLV) could match the implied volatility surface well and meanwhile shows the...
Persistent link: https://www.econbiz.de/10013066022
In northern Europe wind energy has become a dominating renewable energy source due to natural conditions and national support schemes. However, the uncertainty about wind generation affects existing network infrastructure and power production planning of generators and cannot not be fully...
Persistent link: https://www.econbiz.de/10009744986
In northern Europe wind energy has become a dominating renewable energy source due to natural conditions and national support schemes. However, the uncertainty about wind generation affects existing network infrastructure and power production planning of generators and cannot not be fully...
Persistent link: https://www.econbiz.de/10013081586
We consider an electricity market organized with two settlements: one for a pre-delivery (day-ahead) market and one for real time, where uncertainty regarding production from non-dispatchable energy sources as well as variable load is resolved in the latter stage. We formulate two models to...
Persistent link: https://www.econbiz.de/10012984490
In northern Europe wind energy became a dominating renewable energy source due to natural conditions and national support schemes. However, the uncertainty about wind generation affects existing network infrastructure and power production planning of generators and cannot not be fully diminished...
Persistent link: https://www.econbiz.de/10014040777
The standard Ricardian model of competition has a fixed number of firms, each with limited capacity and differential exogenous costs or qualities. In this paper, we introduce a real entry process by formulating a multistage Ricardian equilibrium model with free entry and stochastic product...
Persistent link: https://www.econbiz.de/10014140511
Persistent link: https://www.econbiz.de/10001525954
This article presents an electricity dispatch model with endogenous electricity generation capacity expansion for Germany over the horizon 2010-2035. The target is to quantify how fuel and carbon price risk impacts investment incentives of thermal power plants. Results point to findings which...
Persistent link: https://www.econbiz.de/10009666498
We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, high and low prices of incomplete bridge, corresponding to given log-price stochastic process,...
Persistent link: https://www.econbiz.de/10003971317
Using the Gartner-Ellis theorem from large deviation theory, we characterize the leading-order behaviour of call option prices under the Heston model, in a new regime where the maturity is large and the log-moneyness is also proportional to the maturity. Using this result, we then derive the...
Persistent link: https://www.econbiz.de/10013116587