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The Market Price of Jump Risk for Delivery Periods: Pricing of Electricity Swaps with Geometric Averaging
Under the physical measure, we discover a decomposition of the swap's market price of risk into the classical one and the MPDP.
A Principal-Agent Framework for Optimal Incentives in Renewable Investments
In addition, we expand the monopolistic and competitive setup to a more general class of tractable Principal-Multi-Agent incentives problems when both the drift and the volatility of a multi-dimensional diffusion process can be controlled by the Agents.
The Market Price of Risk for Delivery Periods: Pricing Swaps and Options in Electricity Markets
Furthermore, we use a weighted geometric averaging of an artificial geometric futures price over the corresponding delivery period.
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