Title : ( Impacts of Premium Bounds on the Operation of Put Option and Day-ahead Electricity Markets )
Authors: Hani Raouf Sheybani , Majid Oloomi Buygi ,
Full TextAbstract
Abstract: In this paper, the impacts of premium bounds of put option contracts on the operation of put option and day- ahead electricity markets are studied. To this end, first a comprehensive equilibrium model for a joint put option and day-ahead markets is presented. Interaction between put option and day-ahead markets, uncertainty in fuel price, impact of premium bounds, and elasticity of consumers to strike price, premium price, and day-ahead price are taken into account in this model. Then, a new method for put option pricing is proposed. By applying the presented model to a test system, the impacts of premium bounds 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, Supply function competition, Put option pricing.
@article{paperid:1065007,
author = {Raouf Sheybani, Hani and Oloomi Buygi, Majid},
title = {Impacts of Premium Bounds on the Operation of Put Option and Day-ahead Electricity Markets},
journal = {International Journal of Engineering},
year = {2017},
volume = {30},
number = {11},
month = {November},
issn = {1025-2495},
pages = {1338--1347},
numpages = {9},
keywords = {Equilibrium of joint put option and day-ahead markets; Option market modeling; Supply function competition; Put option pricing.},
}
%0 Journal Article
%T Impacts of Premium Bounds on the Operation of Put Option and Day-ahead Electricity Markets
%A Raouf Sheybani, Hani
%A Oloomi Buygi, Majid
%J International Journal of Engineering
%@ 1025-2495
%D 2017
