NDLI: A no-arbitrage approach to pricing of Flexible Electricity Contracts considering transmission line rentals

Content Provider	IEEE Xplore Digital Library
Author	Nerves, A.C. Bunyi, J.E.A.
Copyright Year	2012
Description	Author affiliation: Electrical and Electronics Engineering Institute, University of the Philippines Diliman, Quezon City, Philippines (Nerves, A.C.) \|\| Corporate Planning and Communications, Philippine Electricity Market Corporation, Pasig City, Philippines (Bunyi, J.E.A.)
Abstract	This study considers the impact of transmission line rentals on the pricing of Flexible Electricity Contracts, which allow flexible scheduling of electric energy, using a no-arbitrage approach. A Flexible Electricity Contract requires the buyer or seller to schedule the amount of energy to be supplied for each time interval. Given stochastic models for spot and line rental prices, this approach determines the optimal price of the Flexible Electricity Contract by determining the opportunities that can be advantageous to the buyer or seller, and setting the price of the contract such that there is no arbitrage. The stochastic spot prices are modeled using autoregressive models. On the other hand, stochastic line rental prices are modeled using simple linear regression, with the spot prices as the predictor variable. Based on the said stochastic models for the spot prices and line rental prices, the optimal contract price is determined using Monte Carlo simulation. Simulations are conducted using spot and line rental price information from the Philippine Wholesale Electricity Spot Market. Analysis performed in this study shows that considering transmission line rentals has a significant impact on the pricing of Flexible Electricity Contracts. Furthermore, this study also considers the impact of daily and hourly scheduling provisions on the contract prices.
Starting Page	1
Ending Page	6
File Size	374440
Page Count	6
File Format	PDF
ISBN	9781467348232
ISSN	21593450
e-ISBN	9781467348249
e-ISBN	9781467348225
DOI	10.1109/TENCON.2012.6412290
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2012-11-19
Publisher Place	Philippines
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Contracts Electricity Power transmission lines Pricing Stochastic processes Monte Carlo methods Optimal scheduling contract pricing electricity market flexible electricity contracts Monte-Carlo simulation arbitrage transmission line rental
Content Type	Text
Resource Type	Article
Subject	Electrical and Electronic Engineering Computer Science Applications

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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