The Asian-option of Generation’s Interruptible Electricity Forwards and Its Pricing Research
|Course||Management Science and Engineering|
|Keywords||Electricity market Interruptible electricity forward Interruption duration Asian options Pricing Monte Carlo simulation|
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 .