Paper Information

Journal:   IRANIAN JOURNAL OF ELECTRICAL AND ELECTRONIC ENGINEERING   SEPTEMBER 2016 , Volume 12 , Number 3; Page(s) 230 To 239.
 
Paper: 

HOW DOES PRICING OF DAY-AHEAD ELECTRICITY MARKET AFFECT PUT OPTION PRICING?

 
 
Author(s):  RAOUF SHEYBANI H., OLOOMI BUYGI M.*
 
* DEPARTMENT OF ENGINEERING, FERDOWSI UNIVERSITY OF MASHHAD, VAKILABAD HIGHWAY, MASHHAD, IRAN
 
Abstract: 

In this paper, impacts of day-ahead market pricing on behavior of producers and consumers in option and day-ahead markets and on option pricing are studied. To this end, two comprehensive equilibrium models for joint put option and day-ahead markets under pay-as-bid and uniform pricing in day-ahead market are presented, respectively. Interaction between put option and day-ahead markets, uncertainty in fuel price, day-ahead market pricing, and elasticity of consumers to strike price, premium price, and day-ahead price are taken into account in these models. By applying the presented models to a test system impact of day-ahead market pricing on equilibrium of joint put option and day-ahead markets are studied.

 
Keyword(s): EQUILIBRIUM OF JOINT PUT OPTION AND DAY-AHEAD MARKETS, OPTION MARKET MODELING, UNIFORM PRICING, PAY-AS-BID PRICING, PUT OPTION PRICING, SUPPLY FUNCTION COMPETITION
 
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