The Valuation of Options on Capacity

Name: The Valuation of Options on Capacity
Creator: Stefan Spinler
Keywords: 8. Economic growth

descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Other literature type 01 Jan 2003Publisher:Springer Berlin Heidelberg

Authors: Stefan Spinler;

doi: 10.1007/978-3-642-19006-3_3

The Valuation of Options on Capacity

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Abstract

This chapter represents the core of the present analysis. Its purpose is laying the foundations of a market model consisting of a sequence of the following market sessions: a contract market, where capacity can be reserved, and a spot market, where capacity can be purchased on a short-term basis. We explicitly model both the buy and the sell side of the market and determine thus optimal consumption portfolios for the buyer and optimal tariffs to be set by the seller.

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University of Pennsylvania
United States

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