著者

遠藤 操 左 士イ 岸本 一男

出版者

一般社団法人 日本応用数理学会

雑誌

日本応用数理学会論文誌 (ISSN:24240982)

巻号頁・発行日

vol.16, no.3, pp.305-316, 2006-09-25 (Released:2017-04-08)

参考文献数

20

被引用文献数

1

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This paper develops a new model describing intraday price changes in the Tokyo Stock Exchange and the Osaka Securities Exchange. The price changes are specified by the repetition of one tick price moves, each of which is caused by the termination of a continuous double auction system described by the classic queuing theory. This model predicts that the one tick price move follows the first order Markov process. We test the null hypothesis of this Markov property for the tick-by-tick data of Nikkei225 Futures on the Osaka Securities Exchange, to find the null hypothesis is not rejected.

著者

遠藤 操

出版者

一般社団法人 エネルギー・資源学会

雑誌

エネルギー・資源学会論文誌 (ISSN:24330531)

巻号頁・発行日

vol.41, no.6, pp.233-242, 2020 (Released:2020-11-10)

参考文献数

28

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The purpose of this paper is to evaluate the swing option price written on the underlying asset of JEPX spot price. The swing option price is calculated by following three steps; (i) modeling JEPX spot price process taking into account the features of mean-reverting, seasonality and spikes, (ii) deriving risk-neutral measure from TOCOM electricity forward curve, and (iii) executing Least-squares Monte Carlo simulation. The calculation result is shown in several graphs which focus on the combination of swing type, number of swing rights and option exercise price. Moreover, this paper analyzes the sensitivity of swing option price to the spot price trend, volatility and spike frequency. Swing option has already been introduced in power purchase agreements between power generating companies and power retail companies in Japan. Therefore, it is considered important for these companies to find a suitable reference price for negotiation. This paper will show a theoretical way to calculate the reference price.