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摘要翻译：
本文介绍了一种新的、易于处理的电力市场现货和衍生产品价格结构模型。利用竞价堆的随机模型，我们将电力需求和发电燃料价格转化为电力现货价格。该堆结构允许每种燃料类型的发电机效率的范围，并允许燃料的优点顺序的未来变化的可能性。衍生的现货价格过程捕捉了历史电价的重要程式化事实，包括峰值和对其潜在供需驱动因素的复杂依赖。此外，在输入因子分布的温和且常用的假设下，我们得到了电力远期合约以及火花和暗价差期权的闭式公式。由于价值序动力学和燃料远期价格被嵌入到模型中，我们捕获了一个比经典约简模型更丰富和更现实的依赖结构。通过与Margrabe公式和一个简单的协整模型的比较，我们说明了这些优点，并突出了对电厂价值评估的重要意义。
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英文标题：
《Electricity price modeling and asset valuation: a multi-fuel structural
approach》
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作者：
Rene Carmona, Michael Coulon, Daniel Schwarz
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity spot prices. The stack structure allows for a range of generator efficiencies per fuel type and for the possibility of future changes in the merit order of the fuels. The derived spot price process captures important stylized facts of historical electricity prices, including both spikes and the complex dependence upon its underlying supply and demand drivers. Furthermore, under mild and commonly used assumptions on the distributions of the input factors, we obtain closed-form formulae for electricity forward contracts and for spark and dark spread options. As merit order dynamics and fuel forward prices are embedded into the model, we capture a much richer and more realistic dependence structure than can be achieved by classical reduced-form models. We illustrate these advantages by comparing with Margrabe's formula and a simple cointegration model, and highlight important implications for the valuation of power plants.
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PDF链接：
https://arxiv.org/pdf/1205.2299
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