a r t i c l e i n f o This paper examines the relationship between option trading activity and stock market volatility. Although the option market is uniquely suited for trading on volatility information, there is little analysis on how trading activity in this market is linked to stock price volatility. The bulk of the discussion tends to focus on whether trading activity in the stock market i...

Multiband CDMA is useful for constructing DSCDMA (CDMA) systems over a non-contiguous spectrum. The method by which users are assigned to their respective frequency bands, termed ‘band allocation’, is an important part of assuring good performance in multiband CDMA systems. This paper proposes a novel approach to band allocation based on the transmission power as it is adjusted by power control...

This paper estimates and tests consumption-based pricing kernels used in common equilibrium interest rate term structure models. In contrast to previous papers that use return orthogonality conditions, estimation in this paper is accomplished using moment conditions from a consumption-based option pricing equation and market prices of interest rate options. This methodology is more sensitive to...

In the electricity market, spark-spread options are increasingly used for hedging purposes and for valuing natural gas power plants. A spark-spread option gives the buyer the right but not the obligation to buy the price difference between electricity and natural gas adjusted for power plant efficiency. Pricing these options requires stochastic process models for the electricity price and the g...

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...

The current and future developments of electric power systems are pushing the boundaries of reliability assessment to consider distribution networks with renewable generators. Given the stochastic features of these elements, most modeling approaches rely on Monte Carlo simulation. The computational costs associated to the simulation approach force to treating mostly small-sized systems, i.e. wi...

in order to survive in today's competitive world, organizations are looking to increase their efficiency and effectiveness. therefore, they should focus on inputs that are more important than the rest of the inputs in their success. this paper aimed at ranking 7ms (management, man power, marketing, material, machinery, methods and money) and their sub-criteria of production in iran. by imp...

In this study, we estimate variable fuel costs and total energy consumption for grid-powered electric cars using eight-year forecasts of cost per kilowatt hour for US national data coupled with real data distributions derived by daily electronic tracking the performance of a single Nissan Leaf located in Texas. These fuel costs are estimated based on a stochastic driving distance, then costs ar...

We study the economic viability and optimal sizing and siting of a hybrid plant that combines a ringwall hydro storage system with wind and solar power plants (ringwall storage hybrid power plant, RSHPP). A real options model is introduced to analyze the economics of an onshore RSHPP, and in particular of the varying storage volume in light of the stochastic character of wind and solar power, a...

The current and future developments of electric power systems are pushing the boundaries of reliability assessment to consider distribution networks with renewable generators. Given the stochastic features of these elements, most modeling approaches rely on Monte Carlo simulation. The computational costs associated to the simulation approach force to treating mostly small-sized systems, i.e. wi...