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Journal of Zhejiang University SCIENCE A 2003 Vol.4 No.6 P.666~671


An electricity price model with consideration to load and gas price effects

Author(s):  HUANG Min-xiang, TAO Xiao-hu, HAN Zhen-xiang

Affiliation(s):  College of Electrical Engineering, Zhejiang University, Hangzhou 310027, China

Corresponding email(s):   huangmx@zju.edu.cn

Key Words:  Electricity market, Stochastic process, Electricity price, Gas

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HUANG Min-xiang, TAO Xiao-hu, HAN Zhen-xiang. An electricity price model with consideration to load and gas price effects[J]. Journal of Zhejiang University Science A, 2003, 4(6): 666~671.

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Some characteristics of the electricity load and prices are studied, and the relationship between electricity prices and gas (fuel) prices is analyzed in this paper. Because electricity prices are strongly dependent on load and gas prices, the authors constructed a model for electricity prices based on the effects of these two factors; and used the Geometric Mean Reversion Brownian Motion (GMRBM) model to describe the electricity load process, and a Geometric Brownian Motion (GBM) model to describe the gas prices; deduced the price stochastic process model based on the above load model and gas price model. This paper also presents methods for parameters estimation, and proposes some methods to solve the model.

Darkslateblue:Affiliate; Royal Blue:Author; Turquoise:Article


[1]Allen, E., 1998.Price-Based Commitment Decisions in the Electricity Market.Ph.D dissertion, MIT.

[2]Barz, G., 1999.Stochastic Financial Models for Electricity Derivatives.Ph.D Dissertation, Standford University.

[3]Barz, G.and Johnson, B., 1999.Modeling Electricity Prices.Working Paper, Stanford University.

[4]Cox, J.C., Ross, S.A.and Rubinstein, M., 1979.Option pricing: A simplified approach.Journal of Financial Economics, 7(October): 229-263.

[5]Deng, S.J., 2000.Stochastic Models of Energy Commodity Prices and their Applications: Mean-reversion with Jumps and Spikes.Working Paper of the Program on Workable Energy Regulation (POWER), University of California, Berkeley campus.

[6]Hull, J.and White, A., 1994.Numerical procedures for implemnting term structure models I: single factor models.Journal of Derivatives, 2(1): 7-16.

[7]Kreuzberg, M., 1999.Forecasting Spot Prices for the European Power Market.EWI Working Paper 98/2, Institute of Energy Economics, University of Cologne.

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Albert Tetteh@KNUST,Ghana<its_my.own27@yahoo.com>

2010-09-23 03:32:40

I wish more access be given African students so we can contribute from our region

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