|
能源衍生品的标的物主要是电，石油，天然气。常用衍生品的种类有spread option, swing option, tolling agreement等。由于标的物的特殊性质，例如，季节性，高波动性（价格，用量），回归中值性，一般股票或利率衍生品的定价模型不能直接用于能源衍生品的定价或对冲。由于其复杂程度较高，所以即能精确定价又能计算方便（最好有解析解）是能源衍生品定价模型的重要研究方向之一。下面是分种类介绍：
Spread option
A spread option is an option whose pay-off depends on the price spread between two correlated underlying assets.
For example, a refinery purchases crude oil and sells refined products such as heating oil and unleaded gasoline. The refinery’s exposure is to the so-called crack spread, which is the difference between the prices of the raw material (crude oil) and refined products in appropriate proportions.
Another example is a power generating plant, which buys fuel (gas or coal) (and possibly emission rights) and sells electricity. For such plant the exposure is to the so-called spark or dark spread, which is the difference between the fuel price (and eventual emission rights) and the price of generated electricity.
推荐文献：
- Pricing and Hedging Spread Options, Carmona and Durrleman, 2003
- The Valuation of Clean Spread Options: Linking Electricity, Emissions and Fuels, Carmona, Coulon, and Schwarz, 2012
- Implied and Local Correlations from Spread Options, Carmona and Sun, 2012
- Closed Form Approximations for Spread Options, Venkatramanan and Alexander, 2011
- Energy Spot Price Models and Spread Options Pricing, Hikspoors and Jaimungal, 2007
Swing option
As an example, consider a utility interested in purchasing 10,000 MMBtu of gas per day for the month of February. Moreover, the utility might want the option to change ("swing") the amount delivered from the nominated amount to a new amount, on a short notice, for a limited number of times. In other words, the utility might want to purchase the strip together with fifteen swing rights to alter the nominated amount to either one of two new stipulated levels, in this case 4,000 or 15,000 MMBtu for the same fixed price of $2.00/MMBtu.
推荐文献：
- Optimal Multiple Stopping and Valuation of Swing Options, Carmona and Touzi, 2004
- Valuation of Swing Contracts by Least-Squares Monte Carlo Simulation, Willigers, Begg, and Bratvold, 2010
- Valuation of Commodity-Based Swing Options, Jaillet, Ronn, and Tompaidis, 2003
Tolling agreement (also known as pricing scheduling flexibility of electricity generating facilities)
Under a tolling agreement contract, a renter receives a right to operate a power plant for a fixed time horizon in exchange for a fixed payment. During the life of the contract the renter receives all cash inflows and outflows associated with the power plant.
推荐文献： - Pricing Asset Scheduling Flexibility Using Optimal Switching, Carmona and Ludkovski, 2008
- Pricing Energy Derivatives by Linear Programming: Tolling Agreement Contracts, Ryabchenko and Uryasev, 2011
- Pricing and Hedging Electricity Supply Contracts: a Case with Tolling Agreements, Deng and Xia, 2005
Carbon emissions market
To protect the environment and reduce industrial pollution, market-based mechanisms (cap-and-trade systems, emission trading schemes) are considered as one of the most promising tools. The most prominent examples of existing cap and trade systems are the EU ETS, the US Regional CLean Air Incentives Market (RECLAIM) program and now, Regional Greenhouse Gas Initiative (RGGI). In such systems, a central authority sets a limit (cap) on the total amount of pollutant that can be emitted within a pre-determined period.
To ensure that this target is complied with, a certain number of credits are allocated to appropriate installations, and a penalty is applied as a charge per unit of pollutant emitted outside the limits. Firms may reduce their own pollution or purchase emission credits from a third party, in order to avoid accruing penalties. The transfer of allowances by trading is considered to be the core principle leading to the minimization of the costs caused by regulation.
推荐文献：
- Optimal Stochastic Control and Carbon Price Formation, Carmona, Fehr, and Hinz, 2009
- Properly Designed Emissions Trading Schemes do Works!, Carmona, Fehr, and Hinz, 2009
- Singular Forward-Backward Stochastic Differential Equations and Emissions Derivatives, Carmona, Delarue, Espinosa, and Touzi, 2013
- Risk-Neutral Models for Emission Allowance Prices and Option Valuation, Carmona and Hinz, 2008
其它文献：
General
- A Multi-Factor Model for Energy Derivatives, Clewlow and Strickland, 1999
- The Kirk Approximation: Going Where No Option Has Gone Before, Riedhauser, 2006
Electricity price
- Electricity Price Modelling and Asset Valuation: A Multi-Fuel Structural Approach, Carmona, Coulon, and Schwarz, 2012
- Optimal Dynamic Hedging of Electricity Futures Based on Copula-GARCH Models, Liu, Jian, and Wang, 2010
- Understanding the Fine Structure of Electricity Prices, Geman and Rocoroni, 2002
Load following obligation
- VaR Constrained Hedging of Fixed Price Load-Following Obligations in Competitive Electricity Markets, Oren and Oum, 2008
- Managing Risk under a Fixed Price Load Following Obligation for Electricity Service, Oren and Oum, 2010
最后还有一些slides，对理解理论很有帮助:
slides.zip
(2.56 MB, 下载次数: 0)
|
[复制链接]
/1 
发表于 2017-2-14 10:37:17
提升卡
置顶卡
沉默卡
变色卡
