Adaptive Risk Hedging for Call Options under Cox-Ingersoll-Ross Interest Rates

Ghorbani, Niloofar; Korzeniowski, Andrzej

doi:10.4236/jmf.2020.104040

Cited by 18 publications

(17 citation statements)

References 5 publications

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“…There are numerous alternative distributions namely Gamma, Lognormal, Rayleigh, Nakagami, Gumbel, Burr, Generalized Extreme Value (GEV), Inverse Gaussian (IG), etc. [17,18]. Hence, in this study, different distributions (Weibull, Gamma, Rayleigh, GEV, IG, and Lognormal) are employed in order to find the most suitable model for wind-speed data based on the goodness of fit criteria.…”

Section: Review Of the Literaturementioning

confidence: 99%

“…To evaluate the energy output of each turbine, wind speed distribution parameters have been calculated at the hub-height. Consequently, wind turbine capacity factor and availability factor are determined using Equations (18) and (19), respectively. For cost-effective investment in the wind energy sector, it is asserted that the capacity factor of wind turbines should be between 0.25-0.45 to be economically efficient and feasible [92].…”

Section: Wind Turbine Selectionmentioning

confidence: 99%

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Exploring Wind Energy Potential as a Driver of Sustainable Development in the Southern Coasts of Iran: The Importance of Wind Speed Statistical Distribution Model

Filom

Radfar

Panahi³

et al. 2021

Sustainability

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Wind energy as a clean and inexhaustible source of renewable energy can be a key element of sustainable development that decreases dependence of countries on fossil fuels. Therefore, implementing accurate and comprehensive feasibility studies in countries with a high level of consumption of traditional energy resources is vital; an approach encouraged and supported by green funds and climate change action. It is also crucial to helping spur economic and sustainable growth of these countries. In this regard, this study aims at accurate evaluation of onshore wind energy potential in seven coastal cities in the south of Iran. Six Probability Distribution Functions (PDFs) were examined over representative stations. It was deduced that the Weibull function, which is the most used PDF in similar studies, was only applicable to one station. Here, Gamma distribution offered the best fit for three stations and for the other ones, Generalized Extreme Value (GEV) performed better. Considering the ranking of six examined PDFs and the simplicity of Gamma, it was identified as the effective function in the southern coasts of Iran bearing in mind the geographic distribution of stations. Moreover, six wind energy converter power curve functions contributed to investigating the capacity factor. It is found that, using only one function could cause under- or over-estimation. Then, stations were classified based on the National Renewable Energy Laboratory system. Last but not least, examining a range of wind energy converters enabled scholars to extend this study into practice and prioritize the development of stations considering budget limits.

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Section: Review Of the Literaturementioning

confidence: 99%

Section: Wind Turbine Selectionmentioning

confidence: 99%

Exploring Wind Energy Potential as a Driver of Sustainable Development in the Southern Coasts of Iran: The Importance of Wind Speed Statistical Distribution Model

Filom

Radfar

Panahi³

et al. 2021

Sustainability

View full text Add to dashboard Cite

show abstract

“…The WT expansion concepts are important in variable speed wind turbines, and DFIG usually pertains to wind generation technology [98].…”

Section: Power Capacity In Wind Farmsmentioning

confidence: 99%

Modeling and Optimization of Wind Turbines in Wind Farms for Solving Multi-Objective Reactive Power Dispatch Using a New Hybrid Scheme

et al. 2021

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Reactive Power Dispatch is one of the main problems in energy systems, particularly for the power industry, and a multi-objective framework should be proposed to solve it. In this study, we present a multi-objective framework for the optimization of wind turbines in wind farms. We investigate a new combined optimization method with Chaotic Local Search, Fuzzy Interactive Honey Bee Mating Optimization, Data-Sharing technique and Modified Gray Code for discrete variables. We use the proposed model to select optimal energy system parameters. The optimization process is based on simultaneous optimization of three functions. Finally, we improve a new method based on Pareto-optimal solutions to select the best one among all candidate solutions. The presented model and methodology are validated on energy systems with wind turbines. The evaluated efficiency is compared with the real system.

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“…Zhang et al [4] extended the result for Call Option to stochastic interest rates following the Vasicek model. Subsequently, Ghorbani and Korzeniowski [5] obtained the Call Option price with investment strategy for the Cox-Ingersoll-Ross (CIR) interest rates model via path-integral representation based on n-dimensional Ornstein-Uhlenbeck process.…”

Section: Introductionmentioning

confidence: 99%

Put Options with Linear Investment for Hull-White Interest Rates

Korzeniowski¹,

Ghorbani²

2021

JMF

Self Cite

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We derive a Put Option price associated with selling strategy of the underlying security in a random interest rate environment. This extends Put Option pricing under linear investment strategy from the Black-Scholes setting to Hull-White stochastic interest rate model. As an application, Call Option price for the linear investment strategy in the Hull-White model is established. Our results address recent emergence of developing dynamic investment strategies for the purpose of reducing the investor risk exposure associated with European-type options.

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Adaptive Risk Hedging for Call Options under Cox-Ingersoll-Ross Interest Rates

Cited by 18 publications

References 5 publications

Exploring Wind Energy Potential as a Driver of Sustainable Development in the Southern Coasts of Iran: The Importance of Wind Speed Statistical Distribution Model

Exploring Wind Energy Potential as a Driver of Sustainable Development in the Southern Coasts of Iran: The Importance of Wind Speed Statistical Distribution Model

Modeling and Optimization of Wind Turbines in Wind Farms for Solving Multi-Objective Reactive Power Dispatch Using a New Hybrid Scheme

Put Options with Linear Investment for Hull-White Interest Rates

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