An integrated energy system (IES) is a promising energy-saving technology. With the advancement of technology and deregulation of the energy market, numerous distributed energy systems (DESs) will be accessed in the IES with various trading modes in the future. This makes it even more challenging to evaluate the fair energy selling price of IES, which is of great concern to market regulators and participants. To address this issue, this study proposes a risk-neutral pricing method for IES based on geometric Brownian motions. First, geometric Brownian motions are introduced to characterize the uncertainty feature of the energy price of the DESs. Then, we propose a stochastic partial differential equation (SPDE) for the energy price of an IES by utilizing the Ito lemma and the properties of the martingale under the risk-neutral measure. Finally, sensitivity analyses of the proposed SPDE on the volatilities and two types of correlation coefficients are conducted by implementing the proposed model in the given scenario.
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| http://www.ncbi.nlm.nih.gov/pmc/articles/PMC11462466 | PMC |
| http://dx.doi.org/10.1016/j.heliyon.2024.e38140 | DOI Listing |
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View Article and Find Full Text PDFAn integrated energy system (IES) is a promising energy-saving technology. With the advancement of technology and deregulation of the energy market, numerous distributed energy systems (DESs) will be accessed in the IES with various trading modes in the future. This makes it even more challenging to evaluate the fair energy selling price of IES, which is of great concern to market regulators and participants.
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