How Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing
Year
: 2016
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.
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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How Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing
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| contributor author | هانی رؤف شیبانی | en |
| contributor author | مجید علومی بایگی | en |
| contributor author | Hani Raouf Sheybani | fa |
| contributor author | Majid Oloomi Buygi | fa |
| date accessioned | 2020-06-06T13:34:01Z | |
| date available | 2020-06-06T13:34:01Z | |
| date issued | 2016 | |
| identifier uri | https://libsearch.um.ac.ir:443/fum/handle/fum/3360120 | |
| description 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. | en |
| language | English | |
| title | How Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing | en |
| type | Journal Paper | |
| contenttype | External Fulltext | |
| subject keywords | Equilibrium of joint put option and day-ahead markets | en |
| subject keywords | Option market modeling | en |
| subject keywords | Uniform pricing | en |
| subject keywords | Pay-as-bid pricing | en |
| subject keywords | Put option pricing | en |
| subject keywords | Supply function competition | en |
| journal title | Iranian Journal of Electrical and Electronic Engineering | fa |
| pages | 230-239 | |
| journal volume | 12 | |
| journal issue | 3 | |
| identifier link | https://profdoc.um.ac.ir/paper-abstract-1061863.html | |
| identifier articleid | 1061863 |


