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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31808

    Title: 限價與非限價電力選擇權評估之比較—以加州為例
    Other Titles: An comparison for power price evaluate with and without price cap- the case of california.
    Authors: 呂慧蘭;Lu, Heui-lan
    Contributors: 淡江大學產業經濟學系碩士班
    廖惠珠;Liao, Huei-chu
    Date: 2005
    Issue Date: 2010-01-11 01:17:18 (UTC+8)
    Abstract: 在國際風潮下,我國電力自由化已不可避免,因此規避自由化所帶來之電力風險便顯得十分重要。電力衍生性商品是規避風險的一個好工具,但是文獻很少談及價格異常下之電力衍生性商品的狀況。國外經驗顯示,電力管制解除之際,確實存在一段時間的價格異常。本文擬探討價格異常下,電力衍生性商品是否依然可規避風險。


    Under the international trend, the electricity liberalization in Taiwan is unavoidable. Therefore, it is important to avoid the possible risk resulted from the power market liberalization. Power derivatives is a good tool of avoiding risk is the power market, but less literature mentioned the power derivatives under unusual price. Foreign experience shows there is indeed a period of unusual power price at lifting the regulation of power. This article is going to explore whether power derivatives still can avoid risk under unusual power price.

    Because the liberalization of power is going to happen in Taiwan, this article adopts the case in California which is the most famous case is the literature of power liberalization. This study uses the power price of per hour in past (1, January, 2001 to 31, December, 2004) in California as sample to explain what does the value of option influence with and without price cap, as well as with and without power consumption.

    This research divides the data’s analyzing period into three steps, price cap $150/MWh, price cap $91.87/MWh, and no price cap. The result of research shows that under price cap, we can get higher option value after considering the limit of power expenditure. In addition, the value of option will be lower if we add the factor of price cap to consider the limit of power expenditure under price cap. The phenomenon expresses the factor of price cap can lower risk and affect option price. We also find the value of option of price cap is lower than it of no price cap. That is because the price is restricted in limited area to fluctuate after adding price cap, the wave of power price is light, and the value of option is also less.
    Appears in Collections:[產業經濟學系暨研究所] 學位論文

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