Asian options pricing in the day-ahead electricity market

Viviana Fanelli,Lucia Maddalena,Silvana Musti

Sustainable Cities and Society（2016）

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摘要

•We implement an electricity market equilibrium model.•We model electricity prices by using the interest rate theory.•We price Asian options in the day-ahead electricity market.•We verify that agent provisional ability enhances the market efficiency by decreasing prices.

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关键词

Electricity price modeling,Asian options,Electricity producer,Risk,Equilibrium model

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