신재생에너지 공급의무화제도 현물 시장 참여 태양광 발전의 풋옵션 가치 추정
Estimation of the Put Option Value for Solar Power Plant Operators Participating in the Renewable Portfolio Standard (RPS) Spot Market
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초록
본 논문은 신재생에너지 공급의무화제도(RPS) 하에서 태양광 발전사업자에게 부여된 아메리칸풋옵션의 가치를 이항격자모형을 활용하여 추정하였다. 분석 결과 해당 옵션의 가치가 전체 수익의 7%에 달하는 것으로 나타났고 이는 신재생에너지인증서(REC) 가중치 기준 0.15에 해당하는수준이다. 태양광 발전사업자는 현물 시장에서 고정가격계약으로 전환할 수 있는 해당 옵션에 대한 프리미엄을 지불하지 않는데 이는 현물 시장 참여자가 노출되는 계통한계가격(SMP)와 REC의이중 불확실성 대응에 기여할 수 있다. 그러나 이는 세부 시장간 최적 포트폴리오 구성을 저해하고옵션 프리미엄이 전기소비자에게 전가되는 문제가 있다. 문제해결을 위해 현물 시장 참여자로 하여금 풋옵션의 가치에 상응하는 프리미엄을 지불하게 하고 장기적으로 현물 시장을 일몰하고 고정가격계약으로 시장을 통합하는 방안을 제안한다.
Abstract
In this study, we employ a binomial lattice tree model to estimate the value of American put options granted to solar power plant operators under renewable portfolio standard schemes with different sub-markets. The analysis revealed that the value of these options is equivalent to approximately 7% of the total revenue, translating to an REC multiplier of approximately 0.15. PV operators do not pay a premium for the option to convert to fixed-price contracts in the spot market. This could mitigate the dual uncertainties of SMP and REC prices faced by spot market participants. However, this arrangement may disrupt optimal portfolio composition across sub-markets, with the cost of the option premium ultimately being passed on to electricity consumers. To address this issue, we propose charging market participants an appropriate premium for the option and eventually phasing out the spot market in favor of fixed-price contracts.
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