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Student Number 984208014
Author Min-chun Kao(高敏淳)
Author's Email Address No Public.
Statistics This thesis had been viewed 366 times. Download 0 times.
Department Finance
Year 2010
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title Pricing Electricity Option under a Mean Reversion Lévy Model
Date of Defense 2011-06-10
Page Count 28
Keyword
  • Electricity Option
  • Mean Reversion Lévy
  • Abstract In the past, the electricity market was controlled by the government so there was no price risk. Recently, governments have taken open policies. More and more private firms entered the market and consumers also could purchase power freely. Compared with other commodities, the price of electricity is determined by supply and demand at each point of time due to non-storability of electricity. If electricity demand rises or power production drops suddenly would cause the price to jump. The power producers and consumers face great risk because of high volatility of electricity price. Power exchanges began in 1990 and electricity derivatives whose purposes were to avoid the risk of price volatility were introduced in few years later. Firms which need huge amount of electricity can buy electricity options and control the cost. However, modeling electricity prices is not easy owing to the characteristics of electricity; it is also difficult to price electricity derivatives. Hence, this study splits electricity price model into seasonal trend and random change parts based on the past literatures. In random process, we use OU-type process of mean-reversion Lévy Model, OU-VG and OU-NIG model and find that OU-VG fits better. Subsequently, the model via Conditional Esscher Transform switches to risk-neutral measure and use Monte Carlo simulation to calculate the call price of power option.
    Table of Content 摘要I
    ABSTRACTII
    誌謝III
    目錄IV
    圖目錄V
    表目錄VI
    第一章 緒論1
    第二章電力市場介紹及文獻回顧3
    2.1電力市場3
    2.1.1 歐洲能源交易所(EEX)4
    2.1.2 電力價格特性6
    2.2 電力市場相關文獻7
    第三章 模型介紹與估計方法10
    3.1 季節週期趨勢10
    3.2 均值回歸模型11
    3.3 LÉVY模型11
    3.4 LÉVY OU模型12
    3.5模型估計方法14
    第四章 資料分析15
    4.1 季節趨勢模型16
    4.2 均值回歸參數17
    4.3 殘差項檢定17
    第五章 模擬與定價20
    5.1 現貨價格模擬20
    5.2 風險中立測度轉換20
    5.2 電力選擇權定價22
    第六章 結論25
    參考文獻26
    Reference 國外文獻
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    [3] Benth F.E., Meyer-Brandis T. and Kallsen J. ,“A non-Gaussian Ornstein-Uhlenbeck process for electricity spot price modeling and derivatives pricing”, Applied Mathematical Finance, Vol. 14, Issue 2, pp.153-169, May 2007.
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    [5] Cartea, A., Figueroa, M.G., “Pricing in electricity markets: a mean reverting jump diffusion model with seasonality”, Applied Mathematical Finance, Vol. 12, Issue 4,pp. 313–335,2005.
    [6] Christophe Chorro , Guégan D., Ielpo F. ,” Option pricing for GARCH-type models with generalized hyperbolic innovations”, Centre d’Economie de la Sorbonne Working Paper No. 2010.23, July 2010.
    [7] Claudia Klüppelberg, Thilo Meyer-Brandis and Andrea Schmidt, “Electricity spot price modelling with a view towards extreme spike risk”. Quantitative Finance, Vol 10, Issue 9, pp.963-974, November 2010.
    [8] Clewlow, L. and Strickland, C.,” Energy Derivatives – Pricing and Risk Management “, Lacima Publications, London,2000.
    [9]Collet, J.,Duwig, V.,Oudjane, N., “Some non-Gaussian models for electricity spot Prices”, Probabilistic Methods Applied to Power Systems , June 2006.
    [10] Gerber H. U. and Shiu E. S. W., "Option Pricing by Esscher Transforms" ,Transactions of the Society of Actuaries, Vol. 46, pp. 99–191,1994.
    [11] Kaminski V.,” The Challenge of Pricing And Risk Managing Electricity Derivatives”, The U.S. Power Market, pp.149-71, 1997.
    [12] Liao, S. Shyu, D. Tzang, S. Hung, C. ,”A Garch process with timechanged L′evy innovations and its applications from an economic perspective” The Icfai University Journal of Financial Risk Management, Vol. 5, pp. 7-19, June 2008.
    [13] Lucia, J. J. Schwarz., E. S.,”Electricity prices and power derivatives: Evidence from the nordic power exchange”, Review of Derivatives Research, Vol. 5,pp. 5-50,June 2002.
    [14] Lung-fu Chang and Mao-wei Hung,” Analytical valuation of catastrophe equity options with negative exponential jumps”, Mathematics and Economics, Vol. 44, Issue 1, pp. 59-69,2009.
    [15] Madan, D. B., P. Carr, and E. C. Chang ,” The variance gamma process and option
    Pricing”,European Finance Review,Vol. 2, Issue 1,pp. 79-105,June 1998.
    [16] Mayer, Klaus, Schmid, Thomas and Weber, Florian, “Modeling Electricity Spot Prices - Combining Mean-Reversion, Spikes and Stochastic Volatility”, CEFS Working Paper Series, No. 2, 2011.
    [17] Michael Bierbrauer, Christian Menn, Svetlozar T. Rachev and Stefan Truck,“Spot and derivative pricing in the EEX power market”, Journal of Banking & Finance ,Vol 31, Issue 11, pp. 3462-3485, June 2007.
    [18] Schwartz, E.S., “The stochastic behavior of commodity prices: Implications for valuation and hedging”, Journal of Finance, Vol. 52, pp. 923-973,July 1997.
    [19] Weron Rafal, Simonsen I. and Wilman P., “Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market”, The Application of Econophysics, Tokyo, Springer, pp. 182–192, 2004.
    [20] Weron Rafal.,“Modeling and forecasting electricity loads and prices: A statistical approach ”,Wiley Finance Series, 2006.
    國內文獻
    [1] 王昭文,「考量房價跳躍風險下房屋抵押貸款保險之評價」,風險管理學報,第十二卷,第一期, 53~68頁,2010。
    Advisor
  • Sharon S. Yang(楊曉文)
  • Files
  • 984208014.pdf
  • approve in 3 years
    Date of Submission 2011-07-18

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