Price evaluation system and method for derivative security, and risk management system and method for power exchange
作者： Yuji Uenohara , Takahiro Tatsumi , Yuichi Kano , Masatoshi Kawashima , Yoshiki Murakami
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摘要: For a comprehensive risk evaluation of the electricity price fluctuations, respective relationships between power supplies or demands and prices are derived from data historical supply demand for exchanges, probability distributions fluctuations relating to uncertain computed by using in given period market risk, is measured distribution randomly fluctuating components Monte Carlo simulation, evaluated.
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