A structural risk-neutral model of electricity prices
A structural risk-neutral model of electricity prices
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结构性风险中性电价模型
DOI：
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发表时间：
2009
期刊：
影响因子：
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通讯作者：
N. Touzi
中科院分区：
文献类型：
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作者：
R. Aïd;L. Campi;Adrien Nguyen Huu;N. Touzi
本文的目的是提出一种依赖于基础燃料市场的现货电价模型和相应的远期合约，从而避免电力不可储存性的限制。我们模型的结构方面来自于这样一个事实，即电力现货价格取决于到期日T时电力需求的动态，以及每种生产方式的随机可用产能。我们的模型以一种程式化的事实解释了不同燃料的价格如何与需求相结合来产生电价。这种建模方法允许人们将燃料市场的风险中性概率转移到电价，并且一方面在需求和停电之间独立的假设下，另一方面，它提供了电力远期价格和燃料远期价格之间的回归关系。此外，该模型本质上产生了在电力市场数据上观察到的众所周知的峰值。在我们的模型中，当生产商不得不从一种技术切换到可用的成本最低的技术时，就会出现峰值。对仅使用两种燃料(天然气和石油)的法国电力市场进行了非常粗略的数值测试，这说明了该模型的潜在兴趣。
The objective of this paper is to present a model for electricity spot prices and the corresponding forward contracts, which relies on the underlying market of fuels, thus avoiding the electricity non-storability restriction. The structural aspect of our model comes from the fact that the electricity spot prices depend on the dynamics of the electricity demand at the maturity T, and on the random available capacity of each production means. Our model explains, in a stylized fact, how the prices of different fuels together with the demand combine to produce electricity prices. This modeling methodology allows one to transfer to electricity prices the risk-neutral probabilities of the market of fuels and under the hypothesis of independence between demand and outages on one hand, and prices of fuels on the other hand, it provides a regression-type relation between electricity forward prices and forward prices of fuels. Moreover, the model produces, by nature, the well-known peaks observed on electricity market data. In our model, spikes occur when the producer has to switch from one technology to the lowest cost available one. Numerical tests performed on a very crude approximation of the French electricity market using only two fuels (gas and oil) provide an illustration of the potential interest of this model.