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A generator has 100 MWh generation capacity and has the following production cost curve C(q) = 200 + 20g +0.1q It enters the operating
A generator has 100 MWh generation capacity and has the following production cost curve C(q) = 200 + 20g +0.1q It enters the operating day with the following contracts: Seller of a forward contract of 30$/MWh and a quantity of 10 MWh; Seller of a forward contract of 50$/MWh and a quantity of 5 MWh; Buyer of a forward contract of 25$/MWh and a quantity of 5 MWh; A 5 MWh put option with 285/MWh exercise price, the option fee is $100. . A 10 MWh call option with 30$/MWh exercise price, the option fee is $50. A 5 MWh call option with 35$/MWh exercise price, the option fee is $50. Calculate the generator output power and option exercises to maximize its profit if (assume the generator cannot be shut down) 1. The spot market price is $22/MWh; 2. The spot market price is $33/MWh.
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Step: 1
1 The generator will produce 10 MWh to satisfy the first forward contract 5 MWh to satisfy ...Get Instant Access to Expert-Tailored Solutions
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