Impacts of Premium Bounds on the Operation of Put Option and Day-ahead Electricity Markets

Authors

Department of Electrical Engineering, Ferdowsi University of Mashhad, Mashhad, Iran

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

References

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International Journal of Engineering
Volume 30, Issue 11
TRANSACTIONS B: Applications
November 2017
Pages 1752-1761

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