In this paper, we deal with the pricing of power options when the dynamics of the risky underling asset follows the double stochastic volatility with double jump model. We prove efficiency of our considered model by fast Fourier transform method, Monte Carlo simulation and numerical results using power call options i.e. Monte Carlo simulation and numerical results show that the fast Fourier tra...

The efficient allocation of power is a major concern in today’s wireless communications systems. Due to the high demand in data rate and the scarcity of wireless resources such as power, the multi-user communication systems like the multiple access channel (MAC) and broadcast channel (BC) have become highly competitive environments for the users as well as the system itself. Theory of microecon...

This paper presents a method to allocate the transmission network costs to users based on nodal pricing approach by regulating the nodal prices from the marginal point to the new point. Transmission nodal pricing based on marginal prices is not able to produce enough revenue to recover the total transmission network costs. However, according to the previous studies in this context, this met...

In this paper, a new identification of the Lagrange multipliers by means of the Sumudu transform, is employed to  btain a quick and accurate solution to the fractional Black-Scholes equation with the initial condition for a European option pricing problem. Undoubtedly this model is the most well known model for pricing financial derivatives. The fractional derivatives is described in Caputo sen...

In competitive electricity markets all over the world, an adoption of suitable transmission pricing model is a problem as transmission segment still operates as a monopoly. Transmission pricing is an important tool to promote investment for various transmission services in order to provide economic, secure and reliable electricity to bulk and retail customers. The nodal pricing based on SRMC (S...

This paper proposes a pricing system for power system security in deregulated electricity market that includes voltage stability constraint in a multi-objective OPF problem. The OPF maximizes social benefit, as well as the distance from the voltage-collapse point. While pricing system security, ancillary service such as reactive power has been included. Effect of N–1 contingency on pricing is a...

In competitive electricity markets all over the world, an adoption of suitable transmission pricing model is a problem as transmission segment still operates as a monopoly. Transmission pricing is an important tool to promote investment for various transmission services in order to provide economic, secure and reliable electricity to bulk and retail customers. The nodal pricing based on SRMC (S...