Research on pricing of electricity swing option

[摘要] Electricity non-storability leads to relatively high fluctuation range of at-sight electricity price. It is necessary to apply electricity financial derivative tool for risk management and control. Electricity swing forward option pricing widely applied in electricity financial market is mainly studied in the paper. Swing option pricing is converted into linear complementary problem for solution through finite difference, discrete transaction time and price. Meanwhile, optimal exercise behavior of swing option purchaser is further combined for establishing an optimization model. Finally, the former model and algorithm are utilized for simulation pricing of electricity swing option through actual electricity futures.

[发布机构] Management School, Shanghai University, Shanghai; 200444, China^1

[效力级别] 无线电电子学

[关键词] Electricity futures;Electricity prices;Financial derivatives;Linear complementary problems;Management and controls;Model and algorithms;Optimization modeling;Transaction time