Impacts of Premium Bounds on the Operation of Put Option and Day-ahead Electricity Markets

In this paper , the impacts of premium bounds of put option contracts on the operation of put option and day-ahead electricity markets are studied . To this end , first a comprehensive equilibrium model for a joint put option and day-ahead markets is presented . Interaction between put option and day-ahead markets , uncertainty in fuel price, impact of premium bounds, and elasticity of consumers to strike price , premium price, and day-ahead price are taken into account in this model . Then, a new method for put option pricing is proposed. By applying the presented model to a test system, the impacts of premium bounds on equilibrium of joint put option and day-ahead markets are studied

Keywords:

Equilibrium of Joint put Option and Day-Ahead Markets , Option Market Modeling , Supply Function Competition , Put Option Pricing ,