An Equilibrium Pricing Model for Wind Power Futures

2016 ◽  
Author(s):  
Gerke Gersema
Keyword(s):  
Wind Power ◽  
Pricing Model ◽  
Equilibrium Pricing

An equilibrium pricing model for wind power futures

2017 ◽  
Vol 65 ◽  
pp. 64-74 ◽  
Author(s):  
Gerke Gersema ◽  
David Wozabal
Keyword(s):  
Wind Power ◽  
Pricing Model ◽  
Equilibrium Pricing

Pricing Chinese Rain: A Multisite Multi-Period Equilibrium Pricing Model for Rainfall Derivatives

2011 ◽  
Author(s):  
Wolfgang K. HHrdle ◽  
Maria Osipenko
Keyword(s):  
Pricing Model ◽  
Equilibrium Pricing

Pension Fund Real Estate Investment Under a Simple Equilibrium Pricing Model

1991 ◽  
Vol 47 (3) ◽  
pp. 20-30 ◽  
Author(s):  
Richard M. Ennis ◽  
Paul Burik
Keyword(s):  
Real Estate ◽  
Pension Fund ◽  
Pricing Model ◽  
Real Estate Investment ◽  
Equilibrium Pricing

scholarly journals A Multivariate Extension of Equilibrium Pricing Transforms: The Multivariate Esscher and Wang Transforms for Pricing Financial and Insurance Risks

2006 ◽  
Vol 36 (1) ◽  
pp. 269-283 ◽  
Author(s):  
Masaaki Kijima
Keyword(s):  
Pricing Model ◽  
Equilibrium Pricing ◽  
Multivariate Extension ◽  
Aggregate Risk ◽  
Normally Distributed

This paper proposes a multivariate extension of the equilibrium pricing transforms for pricing general financial and insurance risks. The multivariate Esscher and Wang transforms are derived from Bühlmann’s equilibrium pricing model (1980) under some assumptions on the aggregate risk. It is shown that the Esscher and Wang transforms coincide with each other when the underlying risks are normally distributed.

scholarly journals A Multiperiod Equilibrium Pricing Model

2014 ◽  
Vol 2014 ◽  
pp. 1-14 ◽  
Author(s):  
Minsuk Kwak ◽  
Traian A. Pirvu ◽  
Huayue Zhang
Keyword(s):  
Optimal Strategies ◽  
Risky Asset ◽  
Model Parameters ◽  
Contingent Claim ◽  
Pricing Model ◽  
Equilibrium Pricing ◽  
Equilibrium Prices ◽  
Numerical Result ◽  
Stochastic Framework ◽  
Stochastic Coefficient

We propose an equilibrium pricing model in a dynamic multiperiod stochastic framework with uncertain income. There are one tradable risky asset (stock/commodity), one nontradable underlying (temperature), and also a contingent claim (weather derivative) written on the tradable risky asset and the nontradable underlying in the market. The price of the contingent claim is priced in equilibrium by optimal strategies of representative agent and market clearing condition. The risk preferences are of exponential type with a stochastic coefficient of risk aversion. Both subgame perfect strategy and naive strategy are considered and the corresponding equilibrium prices are derived. From the numerical result we examine how the equilibrium prices vary in response to changes in model parameters and highlight the importance of our equilibrium pricing principle.

Pricing Chinese Rain: A Multi-site Multi-Period Equilibrium Pricing Model for Rainfall Derivatives

2011 ◽  
Author(s):  
Wolfgang K. HHrdle ◽  
Maria Osipenko
Keyword(s):  
Pricing Model ◽  
Equilibrium Pricing

A Reconstruction of Marshall's Temporary Equilibrium Pricing Model

1986 ◽  
Vol 18 (4) ◽  
pp. 639-653 ◽  
Author(s):  
P. L. Williams
Keyword(s):  
Pricing Model ◽  
Equilibrium Pricing ◽  
Temporary Equilibrium
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