Title : ( How Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing )
Authors: Hani Raouf Sheybani , Majid Oloomi Buygi ,
Full TextAbstract
In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncertainty in fuel price, day-ahead market pricing, and elasticity of consumers to strike price, premium price, and day-ahead price are taken into account in these models. By applying the presented models to a test system impact of day-ahead market pricing on equilibrium of joint put option and day-ahead markets are studied.
Keywords
, Equilibrium of joint put option and day-ahead markets, Option market modeling, Uniform pricing, Pay-as-bid pricing, Put option pricing, Supply function competition.
@article{paperid:1061863,
author = {Raouf Sheybani, Hani and Oloomi Buygi, Majid},
title = {How Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing},
journal = {Iranian Journal of Electrical and Electronic Engineering},
year = {2016},
volume = {12},
number = {3},
month = {November},
issn = {1735-2827},
pages = {230--239},
numpages = {9},
keywords = {Equilibrium of joint put option and day-ahead markets; Option market modeling; Uniform pricing; Pay-as-bid pricing; Put option pricing; Supply function competition.},
}
%0 Journal Article
%T How Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing
%A Raouf Sheybani, Hani
%A Oloomi Buygi, Majid
%J Iranian Journal of Electrical and Electronic Engineering
%@ 1735-2827
%D 2016
