2 results for “Incomplete Market”

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Research ArticleOpen accessPhrase in the titleEUROPEAN CALL OPTION APPLICATION IN INCOMPLETE MARKET-ANALYSIS AND DEVELOPMENTRo’fah Nur Rachmawati, Sufon, Widodo BudihartoOption is derivative instrument that have investment benefit and provide return for the writer and the holder. Option price determination is affected by risk factor. However in Black-Scholes model option price is determined without arbitrage risk affection so it is impossible to take return. In this study, option price formula is constructed to be more represent the condition of financial … …Journal of Computer Science, Vol. 10, Issue 1 · 12 Nov 2013 · 7,174 accessesView PDF Cite

Research ArticleOpen accessIn the abstractOptimal Bidding Strategies for Generation Companies in a Day-Ahead Electricity Market with Risk Management Taken into AccountAzmi Saleh, Takao Tsuji, Tsutomu OyamaProblem statement: In a competitive electricity market with limited number of producers, Generation Companies (Gencos) is facing an oligopoly market rather than a perfect competition. Under oligopoly market environment, each Genco may increase its own profit through a favorable bidding strategy. The objective of a Genco is to maximize its profit and minimize the associated risk. In order to achieve … …American Journal of Engineering and Applied Sciences, Vol. 2, Issue 1 · 31 Mar 2009 · 8,233 accessesView PDF Cite