Electricity price behavior models and numerical solutions with trees

In the new environment of liberalized electricity markets, electricity prices are essential for the activities of the electricity market participants, such as pricing, trading, making contracts, planning etc. It becomes a big challenge for researchers to model electricity prices behavior. This paper...

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Bibliographic Details
Published inProceedings. International Conference on Power System Technology Vol. 4; pp. 2353 - 2357 vol.4
Main Authors Qinjing Shen, Minxiang Huang, Xiaohu Tao
Format Conference Proceeding
LanguageEnglish
Published IEEE 2002
Subjects
Contracts
Electricity supply industry
Environmental economics
Equations
Numerical models
Parameter estimation
Power generation economics
Power system economics
Pricing
Stochastic processes
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Summary:In the new environment of liberalized electricity markets, electricity prices are essential for the activities of the electricity market participants, such as pricing, trading, making contracts, planning etc. It becomes a big challenge for researchers to model electricity prices behavior. This paper introduces two kinds of electricity price models (Black-Scholes model and time mean reversion model) and gives out numerical solutions for each model with lattice methods (binomial tree and trinomial tree). Some methods to estimate the parameters of each model are also proposed.
ISBN:9780780374591
0780374592
DOI:10.1109/ICPST.2002.1047206