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...

In Italia esistono due mercati regolamentati di strumenti finanziari derivati accessibili agli investitori retail entrambi gestiti da Borsa Italiana: il SeDex, dove sono trattati covered warrant (CW) e altri strumenti derivati cartolarizzati, e l'IDEM, dove sono invece trattate opzioni su...

We test the performance of popular option strategies in the Nordic power derivative market using 12 years of data. We find that protective put strategies outperform long forward and covered call strategies on risk-adjusted basis, because the payoff function of the protective put seems a good fit...

The first ever explicit formulation of the concept of the option's probability density functions has been introduced in our publications “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True...

• The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publications "Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options -- True...

•The first ever explicit formulation of the concept of an option's probability density functions has been introduced in our publication “Breakthrough in Understanding Derivatives and Option Based Hedging - Marginal and Joint Probability Density Functions of Vanilla Options - True...

• It is not widely emphasized in the literature that derivatives are complex random quantities which should, by custom, be characterized by their probability density functions. • It is understood that Black-Scholes style of derivatives pricing represents an expected value, i.e. the...

This paper develops a dynamic option-based model for the valuation of rental and other similarly structured lease contracts under the conditions of uncertainty that is then solved by statistical simulation (Monte Carlo). The motivation, research background and methodology of the paper follow up...