Research On Long-term Interruptible Electricity Contracts Based On Modern Option Theory

In the electricity markets, the volatility of spot price is strong. That brings large risks to market participants, especially to Grid Companies. The electricity long-term contracts and option derivatives have functions to restrain price volatility and avoid market risks. This paper in view of the characteristics of spot electricity price, combines with wavelet analysis, establishes the compound time-series forecasting models firstly, then uses the Monte Carlo Method, calculates the options price of the interruptible electricity options contracts, and also analyses the contents and transactions of this contracts. This paper establishes the mathematical model for Grid Companies implementing the interruptible load options contracts and solves the model with dynamic queue method. Finally, this paper analyzes the costs and benefits among participants of the interruptible electricity options contracts. The numerical results prove the proposed models and algorithm reasonable, and show the research achievements effective for implementing load management and maintaining price stability.