Re: POWER Working Paper Email Notification Service (PWPENS)

Jim,

I know the author but thanks for the lead.

Vince

James D Steffes@EES
02/08/2000 11:41 AM
To: Vince J Kaminski/HOU/ECT@ECT
cc:
Subject: POWER Working Paper Email Notification Service (PWPENS)

Vince --

FYI. Not sure if you had seen this.

Jim Steffes
---------------------- Forwarded by James D Steffes/HOU/EES on 02/08/2000
11:39 AM ---------------------------

UC Energy <ucenergy@socrates.berkeley.edu< on 02/07/2000 11:20:29 AM
To: (Recipient list suppressed)
cc:
Subject: POWER Working Paper Email Notification Service (PWPENS)

_________________________________________________________________

N E W P O W E R W O R K I N G P A P E R

Working Paper Series of UCEI
_________________________________________________________________

POWER Working Paper Email Notification Service (PWPENS)

A service of The University of California Energy Institute's Program on
Workable Energy Regulation (POWER). All POWER working papers can be
downloaded free of charge from the UCEI website:
http://www.ucei.berkeley.edu/ucei Just follow the link to "POWER Research".

________________________________________

"Exotic Options for Interruptible Electricity Supply Contracts" (February
2000)
PWP-071 by Rajnish Kamat and Shmuel S. Oren.

This paper presents the design and pricing of financial contracts for the
supply and procurement of interruptible electricity service. The proposed
contracts consist of bundling simple forwards with exotic call options that
have two exercise points with different strike prices. Such options allow
hedging and valuation of supply curtailment risk while explicitly
accounting for the notification lead time before curtailment.
The proposed instruments are priced under the traditional GBM price process
assumption and under the more realistic assumption of a mean reverting
price process with jump diffusion. The latter results employ state of the
art Fourier transforms techniques.

Download this paper in Adobe Acrobat format:
http://www.ucei.berkeley.edu/ucei/PDF/pwp071.pdf

________________________________________

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