Valuation of electricity storage contracts using the COS method

作者：

Highlights：

• We provide details on how to mathematically formalize an electricity storage contract by trading on the electricity market.

• We give details of valuation techniques to price these contracts, where the electricity prices follow a structural model based on a stochastic polynomial process.

• The numerical results show that the Fourier-based COS method performs well and can price the discussed electricity storage contract accurately.

摘要

•We provide details on how to mathematically formalize an electricity storage contract by trading on the electricity market.•We give details of valuation techniques to price these contracts, where the electricity prices follow a structural model based on a stochastic polynomial process.•The numerical results show that the Fourier-based COS method performs well and can price the discussed electricity storage contract accurately.

论文关键词：Electricity storage,Valuation,COS method,Fourier-cosine expansions,Electricity prices,Polynomial processes

论文评审过程：Received 21 January 2021, Revised 18 April 2021, Accepted 29 May 2021, Available online 23 June 2021, Version of Record 23 June 2021.

论文官网地址：https://doi.org/10.1016/j.amc.2021.126416