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《Proceedings of the Csee》 2004-12
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PRICING FOR EXOTIC OPTION OF INTERRUPTIBLE ELECTRICITY CONTRACTS

ZHANG Xian, WANu Xi-fan, WANG Jian-xue, CHEN Fang-hua (Department of electric power engineering, Xi'an Jiaotong University, Xi'an 710049, Shaanxi Province, China)  
The interruptible electricity contract with option is a valid risk-management tool, and the contract can be used to ranage interruptible load in power market. The option coupled with the interruptible electricity contract is an exotic electricity options, the stroct analytic solution of the exotic electricity (?) impossible because of its complexity. Therefere we appry a Mence Canle sirnulation to pricing the exotic option approxunatel and the pricing formula is brought forward under no-arbitrage condition. The hybrid stochastic model for electricity spot price is developed through analyzing the inherent characteristics of historical price data. Numerical examples employ the data of New England power market to value the exotic option. The results show that the error of the approximate one is less than 5%, this indicates the method proposed is valid. Furthermore, the method can be used to price other electricity options.
【Fund】: 国家自然科学基金重点资助项目(59937150)。~~
【CateGory Index】: F407.61
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