An empirical analysis of California's hybrid capacity options
The Electricity Journal(2018)
摘要
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.
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关键词
Hybrid capacity options,Market-based payoffs,Tradeoff among option attributes,California
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