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电力可靠性期权的闭式定价与模拟方法

文章 arXiv papers · 作者: Luisa Andreis et al.
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总结

本文将可靠性期权视为类似看涨期权的合约，由电力生产商出售给系统运营商，以支持电力供应安全。文章在电价和行权价动态的若干假设下推导闭式估值公式，然后基于意大利电力市场的真实数据进行校准。

敏感性分析考察期权价值如何随电价和行权价水平及波动性、两者的均值回归速度，以及两者之间的相关性而变化。该说明介绍了数学定价框架及其检验的驱动因素，但未提供公式细节或定量结果。其结论取决于假设的价格过程和意大利市场校准，因此结果未必能原样适用于其他市场设计或市场状态。

核心观点

  • 可靠性期权可以建模为由电力生产商出售给系统运营商的看涨期权。
  • 本文在电价和行权价动态的不同假设下推导闭式估值。
  • 研究基于意大利电力市场数据进行校准，以模拟期权价值。
  • 敏感性分析考察价格水平、波动性、均值回归和相关性。

标签

期权大宗商品衍生品定价波动率均值回归
全文
# Pricing Reliability Options under different electricity prices' regimes


# Pricing Reliability Options under different electricity prices' regimes









Reliability Options are capacity remuneration mechanisms aimed at enhancing security of supply in electricity systems. They can be framed as call options on electricity sold by power producers to System Operators. This paper provides a comprehensive mathematical treatment of Reliability Options. Their value is first derived by means of closed-form pricing formulae, which are obtained under several assumptions about the dynamics of electricity prices and strike prices. Then, the value of the Reliability Option is simulated under a real-market calibration, using data of the Italian power market. We finally perform sensitivity analyses to highlight the impact of the level and volatility of both power and strike price, of the mean reversion speeds and of the correlation coefficient on the Reliability Options' value.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。