IJE TRANSACTIONS B: Applications Vol. 30, No. 11 (November 2017) 1752-1761   

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H. Raouf Sheybani and M. Oloomi Buygi
( Received: March 10, 2017 – Accepted in Revised Form: September 08, 2017 )

Abstract    In this paper‎, ‎the impacts of premium bounds of put option contracts on the operation of put option and day-ahead electricity markets are studied‎. ‎To this end‎, ‎first a comprehensive equilibrium model for a joint put option and day-ahead markets is presented‎. ‎Interaction between put option and day-ahead markets‎, ‎uncertainty in fuel price, impact of premium bounds, and elasticity of consumers to strike price‎, ‎premium price, and day-ahead price are taken into account in this model‎. ‎Then, a new method for put option pricing is proposed. By applying the presented model to a test system, the impacts of premium bounds on equilibrium of joint put option and day-ahead markets are studied‎.


Keywords    Equilibrium of joint put option and day-ahead markets, Option market modeling, Supply function competition‎, Put option pricing.


چکیده    در این مقاله، تأثیر مرزهای قیمت اختیار قرارداد اختیار فروش بر عملکرد بازارهای اختیار فروش و بازار روز بعد انرژی الکتریکی مطالعه شده است. بدین منظور، ابتدا یک مدل تعادلی جامع مشترک برای بازارهای اختیار فروش و روز بعد ارائه شده است. تأثیر متقابل بازار اختیار فروش و بازار روز بعد، عدم قطعیت در قیمت سوخت، تأثیر مرزهای قیمت اختیار، و کشش تقاضا مصرفکنندگان به قیمت اجرا، قیمت اختیار و قیمت بازار روز بعد در این مدل لحاظ گردیده است. سپس یک مدل جدید برای قیمتگذاری قرارداد اختیار فروش ارائه گردیده است. در پایان نیز، با اعمال این مدل به یک شبکه آزمون، تأثیر مرزهای قیمت اختیار بر نقطه تعادل مشترک بازارهای اختیار فروش و روز بعد مطالعه شده است.


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