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Electrical futures transaction and the futures option’s price analysis based on binomial tree model in PJM market

GE Jia-jia,ZOU Bin(School of Communication and Control Engineering,Jiangnan University,Wuxi 214122,China)  
This paper discusses a value computation method –binomial tree model,matches and estimates the option of electric futures model,and analyses option in PJM market with an example.The conclusion indicates that the bionomial tree model is a useful method for pricing the future option.In addition,it introduces the operation of the PJM market and proposes suggestions to chinese electric power marketability reform.
【Fund】: 国家自然科学基金资助项目(60574051)~~
【CateGory Index】: F426.61
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