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

doi:10.1016/j.tej.2018.02.005

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

Department of Asian and Policy Studies (APS)

Research output: Contribution to journal › Articles › peer-review

2 Citations (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 language	English
Pages (from-to)	7-12
Journal	The Electricity Journal
Volume	31
Issue number	2
Early online date	Mar 2018
DOIs	https://doi.org/10.1016/j.tej.2018.02.005
Publication status	Published - 2018

Keywords

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

Access to Document

10.1016/j.tej.2018.02.005

Other files and links

published version (EdUHK Users only)

@article{bd8962836d1a4cf3b6f8e8609574936c,

title = "An empirical analysis of California's hybrid capacity options",

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 {\textcopyright} 2018 Elsevier Inc. All rights reserved.",

author = "WOO, \{Chi Keung\} and Jay ZARNIKAU and Yihsu CHEN and Arne OLSON and Jack MOORE and Tony HO and Yun LIU and Xinpei LUO",

year = "2018",

doi = "10.1016/j.tej.2018.02.005",

language = "English",

volume = "31",

pages = "7--12",

journal = "The Electricity Journal",

issn = "1040-6190",

publisher = "Elsevier Inc.",

number = "2",

}

TY - JOUR

T1 - An empirical analysis of California's hybrid capacity options

AU - WOO, Chi Keung

AU - ZARNIKAU, Jay

AU - CHEN, Yihsu

AU - OLSON, Arne

AU - MOORE, Jack

AU - HO, Tony

AU - LIU, Yun

AU - LUO, Xinpei

PY - 2018

Y1 - 2018

N2 - 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.

AB - 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.

UR - https://doi-org.ezproxy.eduhk.hk/10.1016/j.tej.2018.02.005

U2 - 10.1016/j.tej.2018.02.005

DO - 10.1016/j.tej.2018.02.005

M3 - Articles

SN - 1040-6190

VL - 31

SP - 7

EP - 12

JO - The Electricity Journal

JF - The Electricity Journal

IS - 2

ER -

An empirical analysis of California's hybrid capacity options

Abstract

Keywords

Access to Document

Other files and links

Fingerprint