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Volumn 2, Issue , 2003, Pages 869-873

Pricing the Hidden Options in Power Contracts: A Case with Tolling Agreements

Author keywords

Electricity contract pricing; Electricity options pricing; Real options; Risk management; Spark spread; Tolling agreement

Indexed keywords

ELECTRICITY CONTRACT PRICING; ELECTRICITY OPTIONS PRICING; REAL OPTIONS; SPARK SPREAD; TOLLING AGREEMENT;

EID: 1542269736     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper
Times cited : (9)

References (8)
  • 2
    • 0012556536 scopus 로고    scopus 로고
    • Stochastic Models of Energy Commodity Prices and Their Applications: Mean-reversion with Jumps and Spikes
    • Deng, S. J., "Stochastic Models of Energy Commodity Prices and Their Applications: Mean-reversion with Jumps and Spikes", working paper.
    • Working Paper
    • Deng, S.J.1
  • 3
    • 0038380755 scopus 로고    scopus 로고
    • Incorporating Operational Characteristics and Startup Costs in Option-Based Valuation of Power Generation Capacity
    • forth-coming, April
    • Deng, S. J. and S. S. Oren, "Incorporating Operational Characteristics and Startup Costs in Option-Based Valuation of Power Generation Capacity", Probability in the Engineering and Informational Sciences (PEIS), forth-coming, April, 2003.
    • (2003) Probability in the Engineering and Informational Sciences (PEIS)
    • Deng, S.J.1    Oren, S.S.2
  • 4
    • 0035147848 scopus 로고    scopus 로고
    • Exotic Electricity Options and the Valuation of Electricity Generation and Transmission Assets
    • Deng, S. J., B. Johnson and A. Sogomonian, "Exotic Electricity Options and the Valuation of Electricity Generation and Transmission Assets", Decision Support Systems (30)3, 2001, pp. 383-392.
    • (2001) Decision Support Systems , vol.30 , Issue.3 , pp. 383-392
    • Deng, S.J.1    Johnson, B.2    Sogomonian, A.3
  • 5
    • 0035439412 scopus 로고    scopus 로고
    • An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
    • Higham, D. J., "An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations", SIAM Review, Vol. 43, No. 3, pp. 525-546.
    • SIAM Review , vol.43 , Issue.3 , pp. 525-546
    • Higham, D.J.1
  • 6
    • 0035578679 scopus 로고    scopus 로고
    • Valuing American Options by Simulation: A Simple Least-squares Approach
    • Longstaff, F. A. and E. S. Schwartz, "Valuing American Options by Simulation: A Simple Least-squares Approach", The Review of Financial Studies, Vol. 14, N. 1, pp. 113-147.
    • The Review of Financial Studies , vol.14 , Issue.1 , pp. 113-147
    • Longstaff, F.A.1    Schwartz, E.S.2
  • 7
    • 0038220854 scopus 로고    scopus 로고
    • Short-term Generation Asset Valuation: A Real Options Approach
    • University of Maryland
    • Tseng, C-L. and G. Barz, "Short-term Generation Asset Valuation: a Real Options Approach," Working Paper (2000), University of Maryland.
    • (2000) Working Paper
    • Tseng, C.-L.1    Barz, G.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.