KDI 한국개발연구원 - 경제정책정보 - 국내외연구자료 주제 - 자연환경 - 자원 -



유관기관의 다양한 자료를 한 곳에서 살펴보실 수 있습니다.


Skew Preference in Energy Commodity Option Design

IAEE 2019.08.13
The pay-off profiles of an option buyer or seller, indeed the risks they bear, are skewed and asymmetric by design. A poorly designed option has a tendency for inadequate or excessive risk mitigation. Our objective in this paper is to develop an optimisation model for determining the mix and structure of energy commodity options, given alternative levels of skew preference and option premium budgets. Our modelling is particularly suitable to the setting of electric utility regulation involving multiple stakeholders with potentially diverse skew preferences. A regulated electric utility has a fiduciary duty to seek a prudent programme for fuel cost hedging, yet various stakeholders, including but not limited to corporate managers, regulators, and consumer advocates, are able to influence its configuration. We implement calibrations and simulations of our model for scenarios pertaining to skew preference, option premium budgets, and a representation of a California regulatory incentive system. We assess the economic consequences of mischaracterising the concept of skew in the design of natural gas options.

가입하신 이동통신사의 요금제에 따라
데이터 요금이 과다하게 부가될 수 있습니다.

파일을 다운로드하시겠습니까?
KDI 연구 카테고리