Models for Australian Electricity Derivatives

澳大利亚电力衍生品模型

• 批准号: LP0455003
• 负责人: Prof Fima Klebaner
• 金额: --
• 依托单位: Monash University
• 依托单位国家: 澳大利亚
• 项目类别: Linkage Projects
• 财政年份: 2004
• 资助国家: 澳大利亚
• 起止时间: 2004-01-01 至 2009-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/LP0455003
• 关键词: Models; Australian; Electricity; Derivatives

Electricity derivatives, such as electricity futures and options are used to manage the risk associated with volatility in prices of electricity. This project aims to develop models for pricing electricity derivatives specifically suited for Australia. Because of the non-storable nature of electricity the standard option pricing principle of "no-arbitrage" does not apply to electricity options, such as caps and floors, but applies to options on electricity futures. Therefore a specific model is needed that takes into account the pricing principle of "no-arbitrage" and combines it with other factors that drive electricity prices. The novel element in this proposal is incorporation of the weather forecasts into the models for electricity options. As a result of this study appropriate models for electricity derivatives for various geographical regions in Australia will be developed.

电力衍生工具，如电力期货和期权，用于管理与电力价格波动相关的风险。该项目旨在开发专门适合澳大利亚的电力衍生品定价模型。由于电力的不可储存性，标准的“无套利”期权定价原则不适用于电力期权，如上限和下限，但适用于电力期货期权。因此，需要一个具体的模型，考虑到“无套利”的定价原则，并将其与其他因素，推动电价。这一建议的新内容是将天气预报纳入电力选择模型。作为这项研究的结果，在澳大利亚的各个地理区域的电力衍生物的适当模型将被开发。