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Tolling contracts

机译：收费合同

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The power plant tolling contract is one of most complicated derivative instruments among energy derivatives. The buyer of the contract has the right (but not the obligation) to run the plant to receive the generated power during the contractual period by providing the fuel necessary to run the plant. The simplest way to view a tolling agreement is by representing it as a spread option between power and fuel. Let X_t = (P_t,G_t) be R~k-valued driving process (R is the real axis), G_t is the fuel process and the P_t is (k- 1)-dimensional power process. For a driving process X_t we take a k-dimensional jump-diffusion {X_t} whose dynamic are given by a standard stochastic differential equation. Each power block peak, off-peak, weekend peak, etc., is represented by a separate driving process. We propose an approach based on stochastic impulse control framework. Our approach is to reduce the tolling contract problem to simpler problems for which we have the existence and regularity results. Some particular cases are considered in which solutions have explicit forms.
机译：电厂收费合同是能源衍生产品中最复杂的衍生工具之一。合同的购买者有权（但没有义务）通过提供运行电厂所需的燃料来运行电厂，以在合同期内接收发电。查看收费协议的最简单方法是将其表示为电力和燃料之间的价差选择。令X_t =（P_t，G_t）为R〜k值的驱动过程（R为实轴），G_t为燃料过程，P_t为（k-1）维动力过程。对于驱动过程X_t，我们采用k维跳跃扩散{X_t}，其动态性由标准随机微分方程给出。每个功率块的高峰，非高峰，周末高峰等，都由单独的驱动过程表示。我们提出了一种基于随机脉冲控制框架的方法。我们的方法是将通行费合同问题简化为具有存在性和规律性结果的简单问题。考虑了某些特定情况，其中解决方案具有显式形式。

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