Volume 12, Issue 3 (September 2016)                   IJEEE 2016, 12(3): 230-239 | Back to browse issues page

DOI: 10.22068/IJEEE.12.3.230

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Raouf Sheybani H, Oloomi M. How Does Pricing of Day-ahead Electricity Market Affect Put Option Pricing?. IJEEE. 2016; 12 (3) :230-239
URL: http://ijeee.iust.ac.ir/article-1-994-en.html

Abstract:   (2282 Views)

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.

Full-Text [PDF 607 kb]   (1019 Downloads)    
Type of Study: Research Paper | Subject: Energy Policies
Received: 2016/09/11 | Accepted: 2016/10/15 | Published: 2016/10/15

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