Related papers: Valuation of electricity storage contracts using t…
In this paper, we propose a high-level Stochastic steady-state model to analyze the value of co-located energy storage systems for wind power producers that participate in an electricity market through Forward or Day Ahead contracts. In…
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our approach is applicable to various specifications of…
The COS method is a very efficient way to compute European option prices under L\'evy models or affine stochastic volatility models, based on a Fourier Cosine expansion of the density, involving the characteristic function. This note shows…
This paper presents an analytical method for calculating the operational value of an energy storage device under multi-stage price uncertainties. Our solution calculates the storage value function from price distribution functions directly…
The fluctuations of electricity prices in demand response schemes and intermittency of renewable energy supplies necessitate the adoption of energy storage in microgrids. However, it is challenging to design effective real-time energy…
Recent studies show that the fast growing expansion of wind power generation may lead to extremely high levels of price volatility in wholesale electricity markets. Storage technologies, regardless of their specific forms e.g. pump-storage…
An energy storage technology is valuable if it makes energy systems cheaper. Traditional ways to improve storage technologies are to reduce their costs; however, the cheapest energy storage is not always the most valuable in energy systems.…
The Fourier-cosine expansion (COS) method is used to price European options numerically in a very efficient way. To apply the COS method, one has to specify two parameters: a truncation range for the density of the log-returns and a number…
The levelized cost of energy (LCOE) presents the energy-normalized cost of a generation asset by considering all associated costs (investment and operation) and total generated energy over its life cycle. As LCOE is a levelized value, it…
We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To this end, we begin by characterizing the optimal operating…
This paper proposes a novel framework to price energy storage in economic dispatch with a social welfare maximization objective. This framework can be utilized by power system operators to generate default bids for storage or to benchmark…
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our valuations are based on the indifference pricing…
This paper introduces and rationalizes a new model for bidding and clearing energy storage resources in wholesale energy markets. Charge and discharge bids in this model depend on the storage state-of-charge (SoC). In this setting, storage…
Time-of-use (ToU) pricing is widely used by the electricity utility. A carefully designed ToU pricing can incentivize end-users' energy storage deployment, which helps shave the system peak load and reduce the system social cost. However,…
Electric power systems are increasingly turning to energy storage systems to balance supply and demand. But how much storage is required? What is the optimal volume of storage in a power system and on what does it depend? In addition, what…
With the increasing penetration of renewable energy sources and energy storage devices in the power system, it is important to evaluate the cost of the system by using Levelized Cost of Energy (LCOE). In this paper a new metric, Levelized…
The rapid expansion of wind and solar energy leads to an increasing volatility in the electricity generation. Previous studies have shown that storage devices provide an opportunity to balance fluctuations in the power grid. An economical…
The COS method proposed in Fang and Oosterlee (2008), although highly efficient, may lack robustness for a number of cases. In this paper, we present a Stable pricing of call options based on Fourier cosine series expansion. The Stability…
The use of energy storage to balance electric grids is increasing and, with it, the importance of operational optimisation from the twin viewpoints of cost and system stability. In this paper we assess the real option value of balancing…
We introduce a new and highly tractable structural model for spot and derivative prices in electricity markets. Using a stochastic model of the bid stack, we translate the demand for power and the prices of generating fuels into electricity…