IJE TRANSACTIONS B: Applications Vol. 30, No. 11 (November 2017) 1338-1347    Article in Press

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H. Raouf Sheybani and M. Oloomi Buygi
( Received: March 10, 2017 – Accepted: 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 تست، تأثیر مرزهای قیمت اختیار بر نقطه تعادل مشترک بازارهای اختیار فروش و روز بعد مطالعه شده است.

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