An empirical analysis of California's hybrid capacity options

Chi Keung WOO, Jay ZARNIKAU, Yihsu CHEN, Arne OLSON, Jack MOORE, Tony HO, Yun LIU, Xinpei LUO

Research output: Contribution to journalArticles

1 Citation (Scopus)

Abstract

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. Copyright © 2018 Elsevier Inc. All rights reserved.
Original languageEnglish
Pages (from-to)7-12
JournalThe Electricity Journal
Volume31
Issue number2
Early online dateMar 2018
DOIs
Publication statusPublished - 2018

Citation

Woo, C. K., Zarnikau, J., Chen, Y., Olson, A., Moore, J., Ho, T., . . . Luo, X. (2018). An empirical analysis of California's hybrid capacity options. The Electricity Journal, 31(2), 7-12. doi: 10.1016/j.tej.2018.02.005

Keywords

  • Hybrid capacity options
  • Market-based payoffs
  • Tradeoff among option attributes
  • California

Fingerprint Dive into the research topics of 'An empirical analysis of California's hybrid capacity options'. Together they form a unique fingerprint.