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Impacts of Premium Bounds on the Operation of Put Option and Day-Ahead Electricity Markets
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نویسنده
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Sheybani H. Raouf ,Oloomi Buygi M.
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منبع
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International Journal Of Engineering - 2017 - دوره : 30 - شماره : 11 - صفحه:1752 -1761
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چکیده
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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.
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کلیدواژه
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Equilibrium Of Joint Put Option And Day-Ahead MarketsOption Market Modeling ,Supply Function Competition ,Put Option Pricing
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آدرس
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Ferdowsi University Of Mashhad, Department Of Electrical Engineering, Iran, Ferdowsi University Of Mashhad, Department Of Electrical Engineering, Iran
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پست الکترونیکی
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m.oloomi@um.ac.ir
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Authors
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