电力期权的定价
发布时间：2018-07-27 18:38
【摘要】：近几年来,随着电力工业市场的改革,电力衍生品市场进一步发展,许多普通电力期权以及一些奇异期权纷纷出现,因此对这些期权的定价研究成为一个迫切的问题。 电力是一种常见的资源,具有不可存储的特性,这一特性就排除传统的现货市场上基于存储的定价方法以及传统的无套利原理来定价电力期权的方法,所以以电力期货为标的来复制电力衍生品的方法是必要的。本文主要描述了两类电力期权,一类是热率相关期权(spark spread option),一类是区域传输期权(locational spread option),这两类期权即服从几何布朗运动又服从均值回复过程。文中采用基于电力期货和无风险资产的复制方法建立偏微分方程,进而通过计价单位转换,得到热率相关期权和区域传输期权的定价公式。另外,本文还提出了一种新的数值方法,通过在空间方向上运用有限元方法,在时间方向上运用有限差分法来求解热率相关看涨期权的偏微分方程,最终得到服从几何布朗运动情况下欧式热率相关看涨期权的数值解,并采用空间逼近的不连续性获得了热率相关看涨期权的有限元解和真解间的误差阶,误差阶趋向于2。最终结论显示,利用有限元方法得到的数值解和真解很逼近,可以相互替代,进而体现了本文中提到的数值方法的重要性。
[Abstract]:In recent years, with the reform of the power industry market and the further development of the power derivatives market, many ordinary power options and some strange options have emerged, so the pricing of these options has become an urgent problem. Electricity is a kind of common resource, which can not be stored. This characteristic excludes the traditional spot market pricing method based on storage and the traditional method of pricing power option based on no arbitrage principle. Therefore, it is necessary to copy the electricity derivatives with electricity futures as the target. In this paper, two kinds of power options are described, one is heat rate dependent option (spark spread option), and the other is regional transmission option (locational spread option),. These two kinds of options are subjected to both geometric Brownian motion and mean recovery process. In this paper, the partial differential equation based on power futures and risk-free assets is established, and the pricing formulas of heat ratio related options and regional transmission options are obtained through unit conversion. In addition, a new numerical method is proposed to solve the partial differential equations of call options related to the heat rate by using the finite element method in the space direction and the finite difference method in the time direction. Finally, the numerical solution of Euclidean heat ratio dependent call option under geometric Brownian motion is obtained, and the error order between finite element solution and true solution of heat rate dependent call option is obtained by using spatial approximation discontinuity. The error order tends to be 2. The final conclusion shows that the numerical solution and the true solution obtained by the finite element method can be approximated and can be replaced each other, thus reflecting the importance of the numerical method mentioned in this paper.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.9;F224;O241.82
本文编号：2148784
[Abstract]:In recent years, with the reform of the power industry market and the further development of the power derivatives market, many ordinary power options and some strange options have emerged, so the pricing of these options has become an urgent problem. Electricity is a kind of common resource, which can not be stored. This characteristic excludes the traditional spot market pricing method based on storage and the traditional method of pricing power option based on no arbitrage principle. Therefore, it is necessary to copy the electricity derivatives with electricity futures as the target. In this paper, two kinds of power options are described, one is heat rate dependent option (spark spread option), and the other is regional transmission option (locational spread option),. These two kinds of options are subjected to both geometric Brownian motion and mean recovery process. In this paper, the partial differential equation based on power futures and risk-free assets is established, and the pricing formulas of heat ratio related options and regional transmission options are obtained through unit conversion. In addition, a new numerical method is proposed to solve the partial differential equations of call options related to the heat rate by using the finite element method in the space direction and the finite difference method in the time direction. Finally, the numerical solution of Euclidean heat ratio dependent call option under geometric Brownian motion is obtained, and the error order between finite element solution and true solution of heat rate dependent call option is obtained by using spatial approximation discontinuity. The error order tends to be 2. The final conclusion shows that the numerical solution and the true solution obtained by the finite element method can be approximated and can be replaced each other, thus reflecting the importance of the numerical method mentioned in this paper.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.9;F224;O241.82
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