Stochastic Modeling of Wind Derivatives in Energy Markets
Stochastic Modeling of Wind Derivatives in Energy Markets
复制标题
能源市场中风能衍生品的随机建模
DOI：
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发表时间：
2018
期刊：
影响因子：
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通讯作者：
Silvia Lavagnini
中科院分区：
文献类型：
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作者：
F. Benth;L. D. Persio;Silvia Lavagnini
我们建模的对数的电力现货价格与正常的逆高斯（NIG）过程和风速和风力发电的两个Ornstein-Uhlenbeck过程。为了再现现货价格和风力发电量之间的相关性，即纯跳跃过程和连续路径过程之间的相关性，我们将NIG过程的小跳跃替换为布朗项。然后，我们将我们的模型应用到两个不同的问题：首先，从随机的角度来看，从风力发电厂的收入，作为电力现货价格和生产的能源量之间的产品的预期值进行研究;然后，在风能市场上构建和定价一个欧洲看跌型量子期权，允许买方对冲低价格和低风力发电厂的生产。根据具体的数据集，还提供了拟议模型和相关价格公式的校准。
We model the logarithm of the spot price of electricity with a normal inverse Gaussian (NIG) process and the wind speed and wind power production with two Ornstein–Uhlenbeck processes. In order to reproduce the correlation between the spot price and the wind power production, namely between a pure jump process and a continuous path process, respectively, we replace the small jumps of the NIG process by a Brownian term. We then apply our models to two different problems: first, to study from the stochastic point of view the income from a wind power plant, as the expected value of the product between the electricity spot price and the amount of energy produced; then, to construct and price a European put-type quanto option in the wind energy markets that allows the buyer to hedge against low prices and low wind power production in the plant. Calibration of the proposed models and related price formulas is also provided, according to specific datasets.