2020 年 12 巻 p. 1-15
This paper proposes a simple method to evaluate swing option of fuel index-linked PPA. Swing option will be assumed as a bundle of European option straddle by considering the most frequently used full swing option and using the oil forward curve as the fuel index. Based on such assumption, swing option will be evaluated by Monte Carlo simulation under risk-neutral measure obtained from TOCOM electricity futures market. As a result, the possibility of LNG shortage and surplus is provided. Power generation companies must hedge their LNG position properly to avoid any loss incurred from execution of option by retail companies.