期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2009
卷号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：The pricing of contingent claims in the wholesale power market is a controversial
topic. Important challenges come from the non-storability of electricity and the
number of parameters that impact the market. We propose an equilibrium model
based on the fundamentals of power generation. In a perfect competitive market,
spot electricity prices are determined by the marginal cost of producing the last unit
of power. Electricity can be viewed as a derivative of demand, fuels prices and
carbon emission price. We extend the Pirrong-Jermakayan model such as to
incorporate the main factors driving the marginal cost and the non-linearities of
electricity prices with respect to fuels prices. As in the Pirrong-Jermakayan
framework, any contingent claims on power must satisfy a high dimensional PDE
that embeds a market price of risk, as load is not a traded asset. Analyzing the
specificity of the marginal cost in power market, we simplify the problem for
evaluating power futures so that it becomes computationally tractable. We test our
model on the German EEX for ¡±German Month Futures¡± with maturity of June and
September 2008.
关键词：power contingent claims, PDE valuation of financial derivatives, unit
commitment, market price of risk, EEX.
