The Experts below are selected from a list of 2997 Experts worldwide ranked by ideXlab platform
Xiaohong Guan - One of the best experts on this subject based on the ideXlab platform.
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CDC - Coordination of wind power and flexible load through demand response options
2015 54th IEEE Conference on Decision and Control (CDC), 2015Co-Authors: Dai Wang, Dileep Kalathil, Kameshwar Poolla, Xiaohong GuanAbstract:We explore the value of demand response (DR) for enhancing wind power integration. This value is derived through load curtailment to manage the variability of wind power. It increases the opportunity to use wind power and brings economic benefits to the aggregation of the load serving entity (LSE) and the flexible energy consumer. DR is provided by the flexible load through call options offers to the LSE. A transaction mechanism is designed to incentivize the DR aggregator by an appropriate selection of the Strike Price. It is shown that the Strike Price should be chosen to be the true value of lost load. A multi-stage decision-theoretic formulation is presented to model the interaction between the aggregator and two settlement markets. Simulations reveal that the proposed approach reduces the total costs incurred by the LSE.
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Coordination of wind power and flexible load through demand response options
2015 54th IEEE Conference on Decision and Control (CDC), 2015Co-Authors: Dai Wang, Dileep Kalathil, Kameshwar Poolla, Xiaohong GuanAbstract:We explore the value of demand response (DR) for enhancing wind power integration. This value is derived through load curtailment to manage the variability of wind power. It increases the opportunity to use wind power and brings economic benefits to the aggregation of the load serving entity (LSE) and the flexible energy consumer. DR is provided by the flexible load through call options offers to the LSE. A transaction mechanism is designed to incentivize the DR aggregator by an appropriate selection of the Strike Price. It is shown that the Strike Price should be chosen to be the true value of lost load. A multi-stage decision-theoretic formulation is presented to model the interaction between the aggregator and two settlement markets. Simulations reveal that the proposed approach reduces the total costs incurred by the LSE.
Steven L Heston - One of the best experts on this subject based on the ideXlab platform.
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a closed form solution for options with stochastic volatility with applications to bond and currency options
Review of Financial Studies, 1993Co-Authors: Steven L HestonAbstract:I use a new technique to derive a closed-form solution for the Price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spot-asset returns. I introduce stochastic interest rates and show how to apply the model to bond options and foreign currency options. Simulations show that correlation between volatility and the spot asset's Price is important for explaining return skewness and Strike-Price biases in the Black-Scholes (1973) model. The solution technique is based on characteristic functions and can be applied to other problems. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.
Dai Wang - One of the best experts on this subject based on the ideXlab platform.
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CDC - Coordination of wind power and flexible load through demand response options
2015 54th IEEE Conference on Decision and Control (CDC), 2015Co-Authors: Dai Wang, Dileep Kalathil, Kameshwar Poolla, Xiaohong GuanAbstract:We explore the value of demand response (DR) for enhancing wind power integration. This value is derived through load curtailment to manage the variability of wind power. It increases the opportunity to use wind power and brings economic benefits to the aggregation of the load serving entity (LSE) and the flexible energy consumer. DR is provided by the flexible load through call options offers to the LSE. A transaction mechanism is designed to incentivize the DR aggregator by an appropriate selection of the Strike Price. It is shown that the Strike Price should be chosen to be the true value of lost load. A multi-stage decision-theoretic formulation is presented to model the interaction between the aggregator and two settlement markets. Simulations reveal that the proposed approach reduces the total costs incurred by the LSE.
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Coordination of wind power and flexible load through demand response options
2015 54th IEEE Conference on Decision and Control (CDC), 2015Co-Authors: Dai Wang, Dileep Kalathil, Kameshwar Poolla, Xiaohong GuanAbstract:We explore the value of demand response (DR) for enhancing wind power integration. This value is derived through load curtailment to manage the variability of wind power. It increases the opportunity to use wind power and brings economic benefits to the aggregation of the load serving entity (LSE) and the flexible energy consumer. DR is provided by the flexible load through call options offers to the LSE. A transaction mechanism is designed to incentivize the DR aggregator by an appropriate selection of the Strike Price. It is shown that the Strike Price should be chosen to be the true value of lost load. A multi-stage decision-theoretic formulation is presented to model the interaction between the aggregator and two settlement markets. Simulations reveal that the proposed approach reduces the total costs incurred by the LSE.
Edwin D Maberly - One of the best experts on this subject based on the ideXlab platform.
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Review of Early 2009 SEC Approved Rule Changes Impacting Exchange Traded Equity Options and Possible Implications
SSRN Electronic Journal, 2009Co-Authors: Edwin D Maberly, Raylene M PierceAbstract:In early 2009, the SEC approved a series of rule changes impacting the market for equity options, and this paper reviews these changes. In particular, the $3 threshold level associated with continued optionability and the listing of new option series was eliminated. The rule changes allow each option exchange to expand from 10 to 55 the number of stocks selected for inclusion in the $1 Strike Program. Additionally, the lower bound of permissible $1 Strike Price was reduced from $3 to $1. On March 20, 2009, the T($1) and U($2) Strike codes were introduced when American International Group and Citigroup were assigned these codes. This study updates the Strike Price grid to include these rule changes. Implications associated with these rule changes are identified and include the following: (1) increased trading volume and open interest for equity options; (2) an increase in observed clustering on option Strike Prices; and (3) the removal of an important incentive for firms contemplating a reverse stock split.
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threshold levels Strike Price grid and other market microstructure issues associated with exchange traded equity options
Journal of Futures Markets, 2009Co-Authors: Edwin D Maberly, Raylene M Pierce, Patrick CataniaAbstract:This study addresses a number of important market microstructure issues associated with exchange‐traded equity options having significant research implications for studies investigating clustering on option Strike Prices. Price threshold levels associated with exchange listing and the automatic exercise of equity options as established by the Securities and Exchange Commission and Options Clearing Corporation (OCC) to carry out their regulatory and oversight responsibilities are examined. Significant changes are documented including motivation for such changes. Market microstructure issues potentially impact equity options research outcomes and one important issue is documenting changes over time to the Strike Price grid. A chronological outline of the introduction of option Strike codes from April 26, 1973, through December 2008 is presented. Pricing discrepancies are documented between Standard & Poor's end‐of‐day updates (closing Prices) and similar Prices reported by Center for Research in Security Prices, Thompson, and Bloomberg, which is the source of ambiguities associated with the OCC's official settlement Price. A number of quirks associated with option databases are identified to be of potential interest to researchers. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:188–201, 2010
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Threshold levels, Strike Price grid, and other market microstructure issues associated with exchange‐traded equity options
Journal of Futures Markets, 2009Co-Authors: Edwin D Maberly, Raylene M Pierce, Patrick CataniaAbstract:This study addresses a number of important market microstructure issues associated with exchange‐traded equity options having significant research implications for studies investigating clustering on option Strike Prices. Price threshold levels associated with exchange listing and the automatic exercise of equity options as established by the Securities and Exchange Commission and Options Clearing Corporation (OCC) to carry out their regulatory and oversight responsibilities are examined. Significant changes are documented including motivation for such changes. Market microstructure issues potentially impact equity options research outcomes and one important issue is documenting changes over time to the Strike Price grid. A chronological outline of the introduction of option Strike codes from April 26, 1973, through December 2008 is presented. Pricing discrepancies are documented between Standard & Poor's end‐of‐day updates (closing Prices) and similar Prices reported by Center for Research in Security Prices, Thompson, and Bloomberg, which is the source of ambiguities associated with the OCC's official settlement Price. A number of quirks associated with option databases are identified to be of potential interest to researchers. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:188–201, 2010
Patrick Catania - One of the best experts on this subject based on the ideXlab platform.
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threshold levels Strike Price grid and other market microstructure issues associated with exchange traded equity options
Journal of Futures Markets, 2009Co-Authors: Edwin D Maberly, Raylene M Pierce, Patrick CataniaAbstract:This study addresses a number of important market microstructure issues associated with exchange‐traded equity options having significant research implications for studies investigating clustering on option Strike Prices. Price threshold levels associated with exchange listing and the automatic exercise of equity options as established by the Securities and Exchange Commission and Options Clearing Corporation (OCC) to carry out their regulatory and oversight responsibilities are examined. Significant changes are documented including motivation for such changes. Market microstructure issues potentially impact equity options research outcomes and one important issue is documenting changes over time to the Strike Price grid. A chronological outline of the introduction of option Strike codes from April 26, 1973, through December 2008 is presented. Pricing discrepancies are documented between Standard & Poor's end‐of‐day updates (closing Prices) and similar Prices reported by Center for Research in Security Prices, Thompson, and Bloomberg, which is the source of ambiguities associated with the OCC's official settlement Price. A number of quirks associated with option databases are identified to be of potential interest to researchers. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:188–201, 2010
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Threshold levels, Strike Price grid, and other market microstructure issues associated with exchange‐traded equity options
Journal of Futures Markets, 2009Co-Authors: Edwin D Maberly, Raylene M Pierce, Patrick CataniaAbstract:This study addresses a number of important market microstructure issues associated with exchange‐traded equity options having significant research implications for studies investigating clustering on option Strike Prices. Price threshold levels associated with exchange listing and the automatic exercise of equity options as established by the Securities and Exchange Commission and Options Clearing Corporation (OCC) to carry out their regulatory and oversight responsibilities are examined. Significant changes are documented including motivation for such changes. Market microstructure issues potentially impact equity options research outcomes and one important issue is documenting changes over time to the Strike Price grid. A chronological outline of the introduction of option Strike codes from April 26, 1973, through December 2008 is presented. Pricing discrepancies are documented between Standard & Poor's end‐of‐day updates (closing Prices) and similar Prices reported by Center for Research in Security Prices, Thompson, and Bloomberg, which is the source of ambiguities associated with the OCC's official settlement Price. A number of quirks associated with option databases are identified to be of potential interest to researchers. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:188–201, 2010
