Reply To: Power Capacity Valuation : drop off issue

Client J

With (1) there is too much additional work involved as would have to create vols / correlations as well as investigate implications of modelling as a full option and all its implications

With (2) this could be a practical solution. We would need to zero out the BAV but make sure any Fee’s were linked to Volume Type Trading so that they don’t get affected.

Thanks !

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