The author puts forward simple static model for the arbitrage-free pricing of call and put options which captures the volatility smile and continues to use the classical Black and Bachelier formulas.
The authors put forward a locational marginal pricing scheme based on a primal–dual formulation for a market-clearing model that accounts for non-convexities related to fixed startup/shutdown and no-load costs, minimum generation, up/down time and…
10 Sep 2026
