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...

A compensation-based pricing scheme is a market clearing mechanism that may be applied when a uniform, linear pricing scheme cannot support equilibrium allocations in the auction markets. We analyze extensions of our previously proposed pricing scheme [14] to include various possible...