わが国の卸電力取引におけるスイング･オプションの価値評価

抄録

The purpose of this paper is to evaluate the swing option price written on the underlying asset of JEPX spot price. The swing option price is calculated by following three steps; (i) modeling JEPX spot price process taking into account the features of mean-reverting, seasonality and spikes, (ii) deriving risk-neutral measure from TOCOM electricity forward curve, and (iii) executing Least-squares Monte Carlo simulation. The calculation result is shown in several graphs which focus on the combination of swing type, number of swing rights and option exercise price. Moreover, this paper analyzes the sensitivity of swing option price to the spot price trend, volatility and spike frequency. Swing option has already been introduced in power purchase agreements between power generating companies and power retail companies in Japan. Therefore, it is considered important for these companies to find a suitable reference price for negotiation. This paper will show a theoretical way to calculate the reference price.