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:: Volume 1, Issue 2 (Fall 2023) ::
3 2023, 1(2): 1001-1011 Back to browse issues page
Electricity option pricing is based on the balance of the day-ahead market and the option market
Hani Raoof Sheybani , Majid Oloomi bayangi
Faculty of Engineering Quchan University of Technology
Abstract:   (188 Views)
Due to the ever-increasing expansion of electricity financial markets, electric energy producers need to use new pricing methods to cover their maximum risk in different markets. Due to the simultaneous presence of these producers in the physical and financial markets of electricity, it is necessary for the pricing method of their financial contracts to cover the combined risks of producers in both markets. In this article, a new method for pricing put option contracts is presented based on the equilibrium conditions of the day-ahead market and the option market. Based on the presented method, an option execution area is introduced, which represents a part of the option price-execution price page where financial market players are eager to conclude option contracts. The results of the simulation performed on a sample power system show the capabilities of the presented pricing method and the degree of mutual influence of sales option contracts and the day-ahead market of electric energy.
Keywords: Selling option market, equilibrium of both markets, option contract pricing, mutual influence of physical market and financial market.
Full-Text [PDF 1000 kb]   (27 Downloads)    
Type of Study: Research | Subject: General
Received: 2022/10/18 | Accepted: 2022/12/1 | Published: 2022/12/1
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Raoof Sheybani H, Oloomi bayangi M. Electricity option pricing is based on the balance of the day-ahead market and the option market. 3 2023; 1 (2) :1001-1011
URL: http://ijoem.ir/article-1-30-en.html

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Volume 1, Issue 2 (Fall 2023) Back to browse issues page
Journal of Energy Markets Research Journal of Energy Markets Research
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