Exotic electricity options and the valuation of electricity generation and transmission assets
Exotic electricity options and the valuation of electricity generation and transmission assets
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DOI：
10.1016/s0167-9236(00)00112-3
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发表时间：
2001
期刊：
影响因子：
--
通讯作者：
Shijie Deng;Blake Johnson;Aram Sogomonian
中科院分区：
文献类型：
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作者：
Shijie Deng;Blake Johnson;Aram Sogomonian
我们提出并应用了一种方法，通过构建电力期货和无风险资产的复制投资组合来评估电力衍生品。基于期货的复制是必要的，因为电力的不可存储性，这就排除了传统的现货市场，即基于存储的商品衍生品估值方法。使用基于期货的方法，推导了几何布朗运动和均值回归价格过程的火花和位置价差期权的估值公式。这些估值结果反过来用于构建基于实物期权的发电和输电资产估值公式。最后，使用为发电资产导出的估值公式对最近出售的资产样本进行估值，并将计算出的理论值与观察到的资产销售价格进行比较。
We present and apply a methodology for valuing electricity derivatives by constructing replicating portfolios from electricity futures and the risk-free asset. Futures-based replication is made necessary by the non-storable nature of electricity, which rules out the traditional spot market, storage-based method of valuing commodity derivatives. Using the futures-based approach, valuation formulae are derived for both spark and locational spread options for both geometric Brownian motion and mean reverting price processes. These valuation results are in turn used to construct real options-based valuation formulae for generation and transmission assets. Finally, the valuation formula derived for generation assets is used to value a sample of assets that have been recently sold, and the theoretical values calculated are compared to the observed sales prices of the assets.