In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncerta...

In this paper‎, ‎the impacts of premium bounds of put option contracts on the operation of put option and day-ahead electricity markets are studied‎. ‎To this end‎, ‎first a comprehensive equilibrium model for a joint put option and day-ahead markets is presented‎. ‎Interaction between put option and day-ahead markets‎, ‎uncertainty in fuel price, impact of premium bounds, and elasticity of con...

In this research work, our chief target is to elaborate an analytical solution of the fractional linear complement problem related evaluation American put option generated by Black and Scholes model using Adomian decomposition method, a numerical study set forward perform theoretical result. Compared existent we prove that result has prompt convergence solution.

In this paper, Black Scholes’s pricing model was developed to study American option on future contracts of Brent oil. The practical tests of the model show that market priced option contracts as future contracts less than what model did, which mostly represent option contracts with price rather than without price. Moreover, it suggests call option rather than put option. Using t hypothesis test...

We study the Option pricing with linear investment strategy based on discrete time trading of underlying security, which unlike existing continuous models provides a feasible real market implementation. Closed form formulas for Call and Put price are established fixed interest rates their extensions to stochastic Vasicek Hull-White rates.

Optimal stopping is a sub-field of probability theory that is present within mathematical finance, mathematical statistics, stochastic calculus and other disciplines. In mathematical finance, one well known problem is the pricing of an American put option. In this thesis we first give a brief review of some general optimal stopping theory, its connection to free-boundary problems and we then ex...