The aim of this paper is to price power option with its underlying asset price following exponential normal inverse gaussian(NIG)process.We first find the risk neutral equivalent martingale measure Q by Esscher transf...The aim of this paper is to price power option with its underlying asset price following exponential normal inverse gaussian(NIG)process.We first find the risk neutral equivalent martingale measure Q by Esscher transform.Then,using the Fourier transform and its inverse,we derive the analytical pricing formulas of power options which are expressed in the form of Fourier integral.In addition,the fast Fourier transform(FFT)algorithm is applied to calculate these pricing formulas.Finally,Shangzheng 50ETF options are chosen to test our results.Estimating the parameters in NIG process by maximum likelihood method,we show that the NIG prices are much closer to market prices than the Black-Scholes-Merton(BSM)ones.展开更多
In this paper,we incorporate Markov regime-switching into a two-factor stochastic volatility jump-diffusion model to enhance the pricing of power options.Furthermore,we assume that the interest rates and the jump inte...In this paper,we incorporate Markov regime-switching into a two-factor stochastic volatility jump-diffusion model to enhance the pricing of power options.Furthermore,we assume that the interest rates and the jump intensities of the assets are stochastic.Under the proposed framework,first,we derive the analytical pricing formula for power options by using Fourier transform technique,Esscher transform and characteristic function.Then we provide the efficient approximation to calculate the analytical pricing formula of power options by using the FFT approach and examine the accuracy of the approximation by Monte Carlo simulation.Finally,we provide some sensitivity analysis of the model parameters to power options.Numerical examples show this model is suitable for empirical work in practice.展开更多
In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the...In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the reset option with a single reset date and the phenomena of delta of the reset jumps existing in the reset option during the reset date are discussed. The closed-form formulae of pricing for two kinds of power options are derived in the end.展开更多
In China, electricity consumption keeps growing at a high speed and installed capacity will be dou- bled in the next fifteen years. As the world second CO2 producer and also a member of Kyoto Protocol, how to balance ...In China, electricity consumption keeps growing at a high speed and installed capacity will be dou- bled in the next fifteen years. As the world second CO2 producer and also a member of Kyoto Protocol, how to balance energy needs and environmental protection responsibility in the future is a serious problem for China. As such, there are a number of technology choices for today's electric power generation. After discussing the current advanced power generation technologies based on Chinese energy structure and current conditions of power industry, this paper gives a reference to the technology options for China in the future.展开更多
In China, electricity consumption keeps growing at a high speed and installed capacity will be doubled in the next fifteen years. As the world second CO2 producer and also a member of Kyoto Protocol, how to balance en...In China, electricity consumption keeps growing at a high speed and installed capacity will be doubled in the next fifteen years. As the world second CO2 producer and also a member of Kyoto Protocol, how to balance energy needs and environmental protection responsibility in the future is a serious problem for China. As such, there are a number of technology choices for today's electric power generation. After discussing the current advanced power generation technologies based on Chinese energy structure and current conditions of power industry, this paper gives a reference to the technology options for China in the future. Here published is the second part of the paper.展开更多
碳捕集与封存(Carbon capture and storage, CCS)的投资决策研究大多聚焦于单一企业的不足,从燃煤电厂角度出发,描述了两家投资主体参与市场竞争的“双寡头”情况;同时,考虑了碳价和技术创新双重不确定的影响,将碳配额和政府补贴作为鼓...碳捕集与封存(Carbon capture and storage, CCS)的投资决策研究大多聚焦于单一企业的不足,从燃煤电厂角度出发,描述了两家投资主体参与市场竞争的“双寡头”情况;同时,考虑了碳价和技术创新双重不确定的影响,将碳配额和政府补贴作为鼓励投资的激励政策,构建了CCS改造投资的实物期权评价模型。通过逆向归纳法,分别得出垄断情况和双寡头情况下的投资价值和投资临界值。研究表明:抢占投资会造成投资者的短视行为,碳价波动率、碳捕获率、技术创新幅度等参数的增大会减缓投资,政府补贴和技术创新概率的增大则会加速投资。展开更多
电力市场化改革的深化为电力系统规划领域引入了新的问题。为应对这一变化,提出了一种市场背景下考虑规划不确定性价值和全市场要素博弈的电力系统规划方法。首先,在分析电力市场各参与者的整体利益诉求的基础上引入特殊主体独立系统运...电力市场化改革的深化为电力系统规划领域引入了新的问题。为应对这一变化,提出了一种市场背景下考虑规划不确定性价值和全市场要素博弈的电力系统规划方法。首先,在分析电力市场各参与者的整体利益诉求的基础上引入特殊主体独立系统运营商(Independent System Operator,ISO),并从市场运营角度构建输电公司规划模型。然后,在RO(Real Option)理论的基础上,以发电机组选址定容、输电线路扩容和分布式电源(Distributed Generation,DG)投运为决策变量,并同时分析各市场参与者之间的博弈交互机理,构建基于RO理论的多主体博弈规划模型。基于IEEE30系统的仿真算例验证了所提方法的有效性和正确性。展开更多
基金Supported by National Natural Science Foundation of China(11571089,11501164)Natural Science Founda-tion of Hebei Province(A2019205299)+1 种基金the Foundation of Hebei Education Department(ZD2018065,ZD2019053)Hebei Normal University(L2019Z01).
文摘The aim of this paper is to price power option with its underlying asset price following exponential normal inverse gaussian(NIG)process.We first find the risk neutral equivalent martingale measure Q by Esscher transform.Then,using the Fourier transform and its inverse,we derive the analytical pricing formulas of power options which are expressed in the form of Fourier integral.In addition,the fast Fourier transform(FFT)algorithm is applied to calculate these pricing formulas.Finally,Shangzheng 50ETF options are chosen to test our results.Estimating the parameters in NIG process by maximum likelihood method,we show that the NIG prices are much closer to market prices than the Black-Scholes-Merton(BSM)ones.
文摘In this paper,we incorporate Markov regime-switching into a two-factor stochastic volatility jump-diffusion model to enhance the pricing of power options.Furthermore,we assume that the interest rates and the jump intensities of the assets are stochastic.Under the proposed framework,first,we derive the analytical pricing formula for power options by using Fourier transform technique,Esscher transform and characteristic function.Then we provide the efficient approximation to calculate the analytical pricing formula of power options by using the FFT approach and examine the accuracy of the approximation by Monte Carlo simulation.Finally,we provide some sensitivity analysis of the model parameters to power options.Numerical examples show this model is suitable for empirical work in practice.
文摘In this paper, under the assumption that the exchange rate follows the extended Vasicek model, the pricing of the reset option in FBM model is investigated. Some interesting themes such as closed-form formulas for the reset option with a single reset date and the phenomena of delta of the reset jumps existing in the reset option during the reset date are discussed. The closed-form formulae of pricing for two kinds of power options are derived in the end.
文摘In China, electricity consumption keeps growing at a high speed and installed capacity will be dou- bled in the next fifteen years. As the world second CO2 producer and also a member of Kyoto Protocol, how to balance energy needs and environmental protection responsibility in the future is a serious problem for China. As such, there are a number of technology choices for today's electric power generation. After discussing the current advanced power generation technologies based on Chinese energy structure and current conditions of power industry, this paper gives a reference to the technology options for China in the future.
文摘In China, electricity consumption keeps growing at a high speed and installed capacity will be doubled in the next fifteen years. As the world second CO2 producer and also a member of Kyoto Protocol, how to balance energy needs and environmental protection responsibility in the future is a serious problem for China. As such, there are a number of technology choices for today's electric power generation. After discussing the current advanced power generation technologies based on Chinese energy structure and current conditions of power industry, this paper gives a reference to the technology options for China in the future. Here published is the second part of the paper.
文摘碳捕集与封存(Carbon capture and storage, CCS)的投资决策研究大多聚焦于单一企业的不足,从燃煤电厂角度出发,描述了两家投资主体参与市场竞争的“双寡头”情况;同时,考虑了碳价和技术创新双重不确定的影响,将碳配额和政府补贴作为鼓励投资的激励政策,构建了CCS改造投资的实物期权评价模型。通过逆向归纳法,分别得出垄断情况和双寡头情况下的投资价值和投资临界值。研究表明:抢占投资会造成投资者的短视行为,碳价波动率、碳捕获率、技术创新幅度等参数的增大会减缓投资,政府补贴和技术创新概率的增大则会加速投资。
文摘电力市场化改革的深化为电力系统规划领域引入了新的问题。为应对这一变化,提出了一种市场背景下考虑规划不确定性价值和全市场要素博弈的电力系统规划方法。首先,在分析电力市场各参与者的整体利益诉求的基础上引入特殊主体独立系统运营商(Independent System Operator,ISO),并从市场运营角度构建输电公司规划模型。然后,在RO(Real Option)理论的基础上,以发电机组选址定容、输电线路扩容和分布式电源(Distributed Generation,DG)投运为决策变量,并同时分析各市场参与者之间的博弈交互机理,构建基于RO理论的多主体博弈规划模型。基于IEEE30系统的仿真算例验证了所提方法的有效性和正确性。
