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dc.contributor.authorMORIARTY, JM
dc.contributor.authorPalczewski, J
dc.date.accessioned2019-04-09T09:54:37Z
dc.date.available2019-03-28
dc.date.available2019-04-09T09:54:37Z
dc.date.issued2019
dc.identifier.citationMoriarty, J. and Palczewski, J. (2019). Energy imbalance market call options and the valuation of storage. [online] arXiv.org. Available at: https://arxiv.org/abs/1610.05325 [Accessed 9 Apr. 2019].en_US
dc.identifier.issn2227-9091
dc.identifier.urihttps://qmro.qmul.ac.uk/xmlui/handle/123456789/56775
dc.description.abstractAs decarbonisation progresses and conventional thermal generation gradually gives way to other technologies including intermittent renewables, there is an increasing requirement for system balancing from new and also fast-acting sources such as battery storage. In the deregulated context this raises questions of market design and operational optimisation. In this paper we assess the real option value of an arrangement under which an autonomous energy-limited storage unit sells incremental balancing reserve. The arrangement is akin to a perpetual American swing put option with random refraction times, where a single incremental balancing reserve action is sold at each exercise. The power used is bought in an energy imbalance market (EIM), whose price we take as ageneral regular one-dimensional diffusion. The storage operator’s strategy and its real option value are derived in this framework by solving the twin timing problems of when to buy power and when to sell reserve. Our results are illustrated with an operational and economic analysis using data from the German Amprion EIM.en_US
dc.publisherMDPI AGen_US
dc.relation.ispartofRisks
dc.rightsThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons license, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons license and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/.
dc.rightsAttribution 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/us/*
dc.titleImbalance market real options and the valuation of storage in future energy systemsen_US
dc.typeArticleen_US
dc.rights.holder© The Author(s) 2019
pubs.notesNot knownen_US
pubs.publication-statusAccepteden_US
dcterms.dateAccepted2019-03-28
rioxxterms.funderDefault funderen_US
rioxxterms.identifier.projectDefault projecten_US
qmul.funderMarkov chain optimisation for energy systems (Ext.)::Engineering and Physical Sciences Research Councilen_US


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This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons license, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons license and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/.
Except where otherwise noted, this item's license is described as This article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons license, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons license and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this license, visit http://creativecommons.org/licenses/by/4.0/.