Title : ( Put Option Pricing and Its Effects on Day-Ahead Electricity Markets )
Authors: Hani Raouf Sheybani , Majid Oloomi Buygi ,
Full TextAbstract
n this paper, the impacts of strike and premium prices of put option contracts on put option and day-ahead elec- tricity markets are studied. To this end, first a comprehensive equi- librium model for a joint put option and day-ahead markets is pre- sented. Interaction between put option and day-ahead markets, uncertainty in demand, and elasticity of consumers to strike price, premium price, and day-ahead price are taken into account in this model. Then, a formula for computing strike prices at which pro- ducers and consumers are willing to trade put option is presented and a new method for put option pricing is proposed. By applying the presented model to a test system, the interaction between the put option and day-ahead markets is studied.
Keywords
, Cournot competition, equilibrium of joint put op- tion and day-ahead markets, option market modeling, put option pricing.
@article{paperid:1070416,
author = {Raouf Sheybani, Hani and Oloomi Buygi, Majid},
title = {Put Option Pricing and Its Effects on Day-Ahead Electricity Markets},
journal = {IEEE Systems Journal},
year = {2018},
volume = {12},
number = {3},
month = {September},
issn = {1932-8184},
pages = {2821--2831},
numpages = {10},
keywords = {Cournot competition; equilibrium of joint put op- tion and day-ahead markets; option market modeling; put option pricing.},
}
%0 Journal Article
%T Put Option Pricing and Its Effects on Day-Ahead Electricity Markets
%A Raouf Sheybani, Hani
%A Oloomi Buygi, Majid
%J IEEE Systems Journal
%@ 1932-8184
%D 2018
