電力選擇權之定價-以均值回歸Lévy模型

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姓名

高敏淳(Min-chun Kao) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

電力選擇權之定價-以均值回歸Lévy模型
(Pricing Electricity Option under a Mean Reversion Lévy Model)

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摘要(中)

電力市場在早期主要由政府高度控制，不存在價格風險，近年來各國政府開放政策後，使越來越多的民間廠商進入市場，消費者也可自由洽談購買電力。而電力與其他商品相比，具有不可存儲的特性，這使得電力價格決定於每個時間點的供需平衡上，波動性很大，像是電力需求大增，或是電廠產能突然下降，就會造成價格跳躍，也使電力的生產者與消費者皆面臨很大的風險。1990年開始有電力交易所的出現，而後幾年更推出電力衍生性商品，目的就是規避掉價格變動的風險。像對需要長期大量使用電力的工廠來說，可以透過購買電力選擇權，將成本鎖定在一定水準。但電力的特色使模型建構不易，很難做衍生性商品的定價，本文先沿用過去文獻做法將電力價格模型拆成季節趨勢部分與隨機變動部分，在隨機變動過程使用OU-type的均值回歸Lévy模型：OU-VG與OU-NIG模型建構，發現OU-VG配適結果較佳，接著模型經由Conditional Esscher Transform轉換到風險中立測度下，利用蒙地卡羅法模擬算出電力選擇權的買權價格。

摘要(英)

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.

關鍵字(中)

★ 電力選擇權
★ 均值回歸Lévy

關鍵字(英)

★ Mean Reversion Lévy
★ Electricity Option

論文目次

摘要 I
ABSTRACT II
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

參考文獻

國外文獻
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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。

指導教授

楊曉文(Sharon S. Yang)

審核日期

2011-7-18

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