Impacts of Premium Bounds on the Operation of Put Option and Day-ahead Electricity Markets
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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.
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Journal title
volume 30 issue 11
pages 1752- 1761
publication date 2017-11-01
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