Dissertation > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods

The Asian-option of Generation’s Interruptible Electricity Forwards and Its Pricing Research

Author LiuJiang
Tutor MaChaoQun
School Hunan University
Course Management Science and Engineering
Keywords Electricity market Interruptible electricity forward Interruption duration Asian options Pricing Monte Carlo simulation
CLC F224
Type Master's thesis
Year 2006
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Power forward , the interruptible power forward is an implied option scientific use of interruptible power forward the key is to avoid market risks effectively the qualitative and pricing of their implied option . As can be seen from the overview of relevant research literature , interruptible power contract contains a number of elements , each element will be the impact on the characteristics of the option in the interruptible power forward . Existing literature for advance notice of the time , interrupt the number of executions of an interruptible power forward implied qualitative and pricing of options , but did not study interruption duration embedded options of interruptible power forward qualitative and pricing . Based on the practical and theoretical background , we interrupt the duration of interruptible power forward implied qualitative and pricing options . By analyzing the interruption duration of the interruption the decision , pointing out that power suppliers can interrupt the implied power forward options Asian options ; and the Asian option pricing research , build the Asian option pricing model ; The numerical algorithm analysis , the correction Monte Carlo simulation path and parameter settings, write MATLAB program for simulation analysis . The results show that : This article ideas, models and methods are effective , realistic expectations ; interrupt the duration of the the interruptible power forward characteristics can not be ignored ; certain other elements , consider interruption duration of effect than not consider interruption duration impact of the interruption decision-making to be more rational : the number of interrupts less , but the greater the implied value of the options , can better achieve hedging . The first analysis of interruption duration of interruption of interruptible power contracts decision , creative use of Asian options theory to study the issue . In this study, for the main scientific use of the electricity market can interrupt power forward to avoid market risks , hedging and market speculation , as well as to provide theoretical guidance of advancing the reform of the electricity market , to strengthen the demand side management and interruptible load pricing .

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