电力工业正在进行打破垄断、鼓励竞争的市场化改革,在这个过程中,市场参与者将获得不少的机会,同时它们也将面临大量的风险,一个关键的问题是它们如何来管理这些新的风险。备用容量辅助服务对整个系统的可靠性起到保证作用。但是,在市...电力工业正在进行打破垄断、鼓励竞争的市场化改革,在这个过程中,市场参与者将获得不少的机会,同时它们也将面临大量的风险,一个关键的问题是它们如何来管理这些新的风险。备用容量辅助服务对整个系统的可靠性起到保证作用。但是,在市场环境下的备用容量价格呈现出比传统条件下更为复杂的变化形式,独立系统运营商(Independent System Operator,简称ISO)在购买备用时将面临更大的风险。这种情况不仅会影响到电力市场的运营稳定性,而且将危及电力系统的运行安全性和稳定性。文章通过引入具有很大灵活性的摆动期权合约,设计了一种针对备用容量辅助服务的风险回避模型,使ISO能够及时地对备用容量现货市场价格的变化做出反应,有效地回避购买备用容量辅助服务的风险。展开更多
In this work we investigate the pricing of swing options in a model where the underlying asset follows a jump diffusion process.We focus on the derivation of the partial integro-differential equation(PIDE)which will b...In this work we investigate the pricing of swing options in a model where the underlying asset follows a jump diffusion process.We focus on the derivation of the partial integro-differential equation(PIDE)which will be applied to swing contracts and construct a novel pay-off function from a tree-based pay-off matrix that can be used as initial condition in the PIDE formulation.For valuing swing type derivatives we develop a theta implicit-explicit finite difference scheme to discretize the PIDE using a Gaussian quadrature method for the integral part.Based on known results for the classical theta-method the existence and uniqueness of solution to the new implicit-explicit finite difference method is proven.Various numerical examples illustrate the usability of the proposed method and allow us to analyse the sensitivity of swing options with respect to model parameters.In particular the effects of number of exercise rights,jump intensities and dividend yields will be investigated in depth.展开更多
文摘电力工业正在进行打破垄断、鼓励竞争的市场化改革,在这个过程中,市场参与者将获得不少的机会,同时它们也将面临大量的风险,一个关键的问题是它们如何来管理这些新的风险。备用容量辅助服务对整个系统的可靠性起到保证作用。但是,在市场环境下的备用容量价格呈现出比传统条件下更为复杂的变化形式,独立系统运营商(Independent System Operator,简称ISO)在购买备用时将面临更大的风险。这种情况不仅会影响到电力市场的运营稳定性,而且将危及电力系统的运行安全性和稳定性。文章通过引入具有很大灵活性的摆动期权合约,设计了一种针对备用容量辅助服务的风险回避模型,使ISO能够及时地对备用容量现货市场价格的变化做出反应,有效地回避购买备用容量辅助服务的风险。
文摘In this work we investigate the pricing of swing options in a model where the underlying asset follows a jump diffusion process.We focus on the derivation of the partial integro-differential equation(PIDE)which will be applied to swing contracts and construct a novel pay-off function from a tree-based pay-off matrix that can be used as initial condition in the PIDE formulation.For valuing swing type derivatives we develop a theta implicit-explicit finite difference scheme to discretize the PIDE using a Gaussian quadrature method for the integral part.Based on known results for the classical theta-method the existence and uniqueness of solution to the new implicit-explicit finite difference method is proven.Various numerical examples illustrate the usability of the proposed method and allow us to analyse the sensitivity of swing options with respect to model parameters.In particular the effects of number of exercise rights,jump intensities and dividend yields will be investigated in depth.
