| Summary: | 碩士 === 淡江大學 === 經濟學系應用經濟學碩士班 === 91 === Because of the impact of global electricity liberalization, Taiwan’s electricity market liberalized by degrees lately. For this reason, we need power derivatives to make our market have more competitiveness and efficiency. In order to help the power plants avoid risk when the government deregulates the electricity market, this paper discussed the pricing method of European power option with the assumption of physical power delivery.
In 2002, Bhanot applied the mean reversion with jump diffusion model to describe the behavior of power pricing and investigated the power option. In addition, he also discussed the influence of power consumption uncertainty on option pricing. With those concepts, this paper applied the Monte Carlo Simulation method to analyze the impacts of power price, price and consumption and price and consumption uncertainty on power option. The wholesale power prices data of California-ISO and New-England-ISO were used in this study.
According to this study, the call option prices stood between $1/MWh and $3/MWh in the California-ISO case; but there was more discrepancy in the New-England-ISO case. In order to get the option price that would fit best to the present market, the data with structural changes should be separated by different time. The exercise prices would be distinct in different sample periods to match the market condition. In the simulation analysis, the price factor shouldn’t be the only consideration, the power consumption also should be taken into account. Besides, if the uncertainty of power consumption was considered, the outcome of simulation analysis would be more realistic.
In Taiwan, electric imbalance is more likely to occur in the peak hour during summer period. To hedge that, this paper suggested power plants promoting a summer peak hour option that is physically delivered. Besides that option, other power derivatives also represent good choices and about this part there could be more research in the future.
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