| The interruptible electricity forwards is a kind of option implied electricity forwards. The key to employ the interruptible electricity forwards to evade market risk scientifically is to understand the nature and price the implied option reasonably. From the relevant research literature, we can see that the interruptible electricity forwards contract includes a few elements, and every element may affect the nature of the implied option in the interruptible electricity forwards. Previous researches have explored the features and the pricing of the options implied in the electricity forwards evolved from the different combinations of the elements, such as early notification, the number of times of exercising interruption involved in the interruptible electricity forwards. Surprisingly, the existent researches have ignored the effect of the interruption duration on the features and the pricing of the option implied in the forwards.The purpose of this research is to remedy the drawback of the previous researches and research into the effect of the interruption duration on the features and the pricing of the option implied in the forwards. The thesis analyzes the effect of the interruption duration on the decision making for the interruption of the electricity forwards contract; proposes that the implied option embedded in a generator's interruptible electricity forwards is an Asian-option; researches into the pricing method; and constructs a pricing model for the Asian-option. A simulation analysis is conducted with numeric value algorithm analysis, revision the simulation route and the parameters of Monte Carlo, and MATLAB programs, and the simulation results show that the ideas, the methods and the model in this thesis are all valid, and corresponds to the realistic expectation; the effect of interruptible duration on the characteristics of the interruptible electricity forwards can never be neglected; holding other things fixed, the decision with the effect of interruptible duration taken into account is more sensible than that decision made without considering the effect; and the less of interruptible duration, the more value of the implied option.The thesis initiates an analysis of the effect of the interruption duration on the decision making for the interruption of the electricity forwards contract, creatively applies the theory of Asian-option to this problem. This research can be utilized by the market players to evade the market risk, to hedge and to speculate in the electricity market. The thesis will contribute to the ongoing reform in the electricity market, and provides theoretic guidance to strengthening the management on the demand-side and the pricing of the interruptible load. |
