Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7113395 | The Electricity Journal | 2018 | 6 Pages |
Abstract
We propose a new approach to analyze the payoffs of a hybrid capacity option with a daily-varying strike price. We document that the option's payoffs are less than the capacity payments required to attract customer participation. We also present results useful for designing payoff-neutral options to enhance customer participation in a capacityidding program. Our proposed approach is equally applicable for a transparent analysis of the payoffs of other types of exotic capacity options.
Keywords
Related Topics
Physical Sciences and Engineering
Energy
Energy Engineering and Power Technology
Authors
C.K. Woo, J. Zarnikau, Y. Chen, A. Olson, J. Moore, T. Ho, Y. Liu, X. Luo,