Electrical Engineering, Ferdowsi University Of Mashhad
Electrical Engineering, Ferdowsi University of Mashhad
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.