Option value of electricity demand response

Energy

Volumn 32, Issue 2, 2007, Pages 108-119

  Sezgen, Osman ^a   Goldman, C A ^a   Krishnarao, P ^b  

^a LAWRENCE BERKELEY NATIONAL LABORATORY   (United States)

^b Citigroup Energy Inc   (United States)

Author keywords

Customer valuation methods; Demand response; Dynamic pricing; Load management; Option valuation

Indexed keywords

COSTS; ELECTRIC INDUSTRY; FINANCE; INVESTMENTS; MARKETING; MATHEMATICAL MODELS;

CUSTOMER VALUATION METHODS; DEMAND RESPONSE; DYNAMIC PRICING; LOAD MANAGEMENT; OPTION VALUATION;

INDUSTRIAL ECONOMICS;

COSTS; ELECTRIC INDUSTRY; FINANCE; INDUSTRIAL ECONOMICS; INVESTMENTS; MARKETING; MATHEMATICAL MODELS;

ECONOMIC CONDITIONS; ELECTRICITY SUPPLY; ENERGY RESOURCE; INVESTMENT; PRICE DYNAMICS;

EID: 33750320598     PISSN: 03605442     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.energy.2006.03.024     Document Type: Article

References (33)

1. Boisvert RN, Neenan BF. Social Welfare Implications of Demand Response Programs in Competitive Electricity Markets, LBNL-52530. Berkeley CA: Lawrence Berkeley National Laboratory, August 2003.
2. Borenstein S, Jaske M, Rosenfeld A. Dynamic Pricing, Advanced Metering, and Demand Response in Electricity Markets, San Francisco, CA: The Hewlett Foundation; 2002.
3. Neenan B. et al. How and why customers respond to electricity price variability: a study of NYISO and NYSERDA 2002 PRL Program Performance, LBNL-52209. Berkeley CA: Lawrence Berkeley National Laboratory; January 2003.
4. Woo C., and Pupp R. Costs of service disruptions to electricity consumers. Energy 17 2 (1992) 109-126
5. Hull J. Options, futures and other derivatives (1997), Prentice-Hall, New Jersey
6. Kaminski V, Gibner S, Pinnamaneni K. Energy exotic options. In: Managing energy risk. London: Risk Books; 1999. p. 57-94.
7. Clewlow L., and Strickland C. Energy derivatives: pricing and risk management (2000), Lacima Publications, London
8. Deng S., Johnson B., and Sogomonian A. Exotic electricity options and the valuation of electricity generation and transmission assets. Decision Support Sys 30 3 (2001) 383-392
9. Hsu M. Spark spread options are hot! Electricity J 11 2 (1998) 28-39
10. Keppo J., and Lu H. Real options and a large producer: the case of electricity markets. Energy Economics 25 (2003) 459-472
11. Braithwait S.D. Demand response is important-but let's not oversell (or Over-Price) It. Electricity J (2003) 52-64
12. Chao H., Oren S., Smith S., and Wilson R. Multilevel demand subscription pricing for electric power. Energy Econ (1986) 190-217
13. Chao H., and Wilson R. Priority service: pricing, investment, and market organization. Am Econ Rev 77 5 (1987) 899-916
14. Kamat R., and Oren S. Exotic options for interruptible electricity supply contracts. Oper Res 50 5 (2002) 835-850
15. Energy Information Administration (EIA). Annual Energy Outlook 2002. EIA, 2001 See also: Regional and Detailed Tables at www.eia.doe.gov/oiaf/aeo.
16. Fleten S., and Lemming J. Constructing forward price curves in electricity markets. Energy Econ 25 (2003) 409-424
17. Avsar S., and Goss B. Forecast Errors and Efficiency in the US Electricity Futures Market. Australian Econ Papers 40 4 (2001) 479-499
18. Bessembinder H., and Lemmon M. Equilibrium pricing and optimal hedging in electricity forward markets. J Finance 57 (2002) 1347-1382
19. Woo C.-K., Olson A., and Orans R. Benchmarking the price reasonableness of an electricity tolling agreement. Electricity J 17 5 (2004) 65-75
20. Aniti L. Energy Information Administration (EIA). Personal communication, March 2002.
21. New York State Energy Research and Development Authority (NYSERDA). New York State Energy Plan (Forecast Appendix Section 2), 2002. See also: www.nyserda.org/sep.html.
22. New York Independent System Operator (NYISO). Open Access Same-Time Information System, Pricing Data. See also: www.nyiso.com/oasis/index.html.
23. Gas Daily, North American Market Prices. See also: www.platts.com/NaturalGas/MarketPrices.
24. Kintner-Meyer M, Goldman C, Sezgen O, Pratt D. Dividends with demand response. ASHRAE J, October 2003.
25. Nexant. AB970, AB29x and SB5x Peak Load Reduction Programs: December 2001 Annual Report, Oakland, CA, December 2001.
26. Boyle P., Evnine J., and Gibbs S. Numerical evaluation of multivariate contingent claims. Rev Financial Stud 2 2 (1989) 241-250
27. Electric Power Research Institute (EPRI). TAG Technical Assessment Guide, Volume 2: Electricity End Use, Part 2: Commercial Electricity Use, Palo Alto, CA: EPRI, 1988.
28. Workshop for Analysts: Overview of the DOE/GRI Distributed Gas-Fired Technology Characterizations. July 9, 2003. Washington, DC.
29. ISO New England Load Response Statistics. See also: www.iso-ne.com/Load_Response/.
30. PJM Demand Side Response Working Group. See also: www.pjm.com/committees/working-groups/dsrwg/dsrwg.html.
31. Goldman C, Heffner G, Barbose G. Customer Load Participation in Wholesale Markets: 2001 Results, Lessons Learned, and "Best Practices," LBNL-50966, Berkeley CA: Lawrence Berkeley National Laboratory, February 2002.
32. Schwarz P., Taylor T., Birmingham M., and Dardan S. Industrial response to electricity real time prices: short run and long run, Economic Inquiry 40 4 (2002) 597-610
33. Barbose G, Goldman C, Neenan B. A survey of utility experience with real time pricing, LBNL-54238, Berkeley CA: Lawrence Berkeley National Laboratory, December 2004.