HOW DOES PRICING OF DAY-AHEAD ELECTRICITY MARKET AFFECT PUT OPTION PRICING?

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RAOUF SHEYBANI H.; OLOOMI BUYGI M.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: IRANIAN JOURNAL OF ELECTRICAL AND ELECTRONIC ENGINEERING Year:2016 | Volume:12 | Issue:3 Page(s): 230-239

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Title

HOW DOES PRICING OF DAY-AHEAD ELECTRICITY MARKET AFFECT PUT OPTION PRICING?

Author(s)

RAOUF SHEYBANI H. | OLOOMI BUYGI M. | Issue Writer Certificate

Keywords

EQUILIBRIUM OF JOINT PUT OPTION AND DAY-AHEAD MARKETS

OPTION MARKET MODELING

UNIFORM PRICING

PAY-AS-BID PRICING

PUT OPTION PRICING

SUPPLY FUNCTION COMPETITION

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.

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APA: Copy

RAOUF SHEYBANI, H., & OLOOMI BUYGI, M.. (2016). HOW DOES PRICING OF DAY-AHEAD ELECTRICITY MARKET AFFECT PUT OPTION PRICING?. IRANIAN JOURNAL OF ELECTRICAL AND ELECTRONIC ENGINEERING, 12(3), 230-239. SID. https://sid.ir/paper/299913/en

Vancouver: Copy

RAOUF SHEYBANI H., OLOOMI BUYGI M.. HOW DOES PRICING OF DAY-AHEAD ELECTRICITY MARKET AFFECT PUT OPTION PRICING?. IRANIAN JOURNAL OF ELECTRICAL AND ELECTRONIC ENGINEERING[Internet]. 2016;12(3):230-239. Available from: https://sid.ir/paper/299913/en

IEEE: Copy

H. RAOUF SHEYBANI, and M. OLOOMI BUYGI, “HOW DOES PRICING OF DAY-AHEAD ELECTRICITY MARKET AFFECT PUT OPTION PRICING?,” IRANIAN JOURNAL OF ELECTRICAL AND ELECTRONIC ENGINEERING, vol. 12, no. 3, pp. 230–239, 2016, [Online]. Available: https://sid.ir/paper/299913/en

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