Research On The Construction Of Electricity Option Market And Option Pricing Model

The marketization of the power industry makes the operation mode of the power system change fundamentally.The market participants transform from the traditional obedience to centralized and unified scheduling into the pursuit of the maximization of their own interests as the decision goal.The introduction of competition stimulate the vitality of the power market,while making the participants of the electricity market face unprecedented Risk and challenge.The electricity market participants began to try to combine the theory of financial engineering with the theory of electricity market,and seek to use the financial derivatives such as forward contracts,futures contracts and option contracts to restrain the abuse of market force and avoid market risk.By establishing the market of power financial derivatives,the power can be stored "virtual",and achieve the purpose of maintaining spot market electricity price stability.This paper mainly studies the electricity market which considers the power options trading,constructs the framework of the power options market,deepens the application of the option in the power market,and establishes the pricing model of different kinds of options,in order to provide a scientific and reasonable decision basis and method tool for the market participants to avoid market risks and maximize profits.Firstly,referring to the highly standardized market of commodity options(such as grain,crude oil,non-ferrous metals,etc.),the framework of the power options market is proposed in view of the development of the financial derivatives market and the development of electricity market in China.The power options market is designed in terms of the size of the option market platform,the participants,the standardized option contract,the transaction process and the rules,and the specific examples show how the option investors use the option trading tools to manage the risks effectively,and seek more investment opportunities and investment strategies.With the rapid reform of the electricity market in Guangdong as a pilot project,the specific design and application of power options in China is put forward,and the transaction process is expounded from four aspects: entering the market,trading,clearing,and delivery.Secondly,because electricity is a typical non-storable flow commodity,the non-arbitrage principle is no longer valid for the pricing of electricity derivatives.When using the Black-Scholes formula as option pricing,it is found that the result is higher than the actual data,which proves that the model has certain shortage.Because the electricity price stochastic model is the basis of the option pricing,tochastic electricity price model based on the Affine Jump Diffusion process with two jump components is proposed.The model parameters are calibrated and the validity of the model is analyzed according to the historical data of the NordPool market price.Based on the mixed electricity price model,the pricing example is given by analytic method and Monte-Carlo.The empirical study shows that the concept of the power option pricing method proposed in this paper is clear and can be more accurate to solve the pricing problem of the power options products,and has certain practical value.Finally,we further dig the options containing the concept of options,and propose generation option,interruptible load option and capacity market option respectively.These options can meet the needs of different market participants and provide pricing for these options theory,which can provide price reference for market participants.The power generation option can realize the optimization of the distribution of resources and improve thesecurity of the system.In this paper,a model of generation option trading is proposed,and the calculation method of option from the perspective of mathematics and economics is also presented.The implementation of the interruptible load power can effectively play the role of peak cutting.The pricing of the interruptible load option proposed in this paper can provide a theoretical basis for the power company to interrupt the cost of the user's load.Capacity option can be used to ensure the operation of systems in emergency situations.This paper studies the three aspects of capacity option: trading mechanism,transaction process and pricing,which can also replace the existing capacity market.