Pricing block flexible electricity contracts

This paper is focused on pricing the block flexible electricity contracts (BFEC) based on the principle of no-arbitrage, BEFC requires the buyer or the seller to schedule its contract volume and the certain block of power at each time interval. By using the first-order-auto-regressive model AR(1) as stochastic spot price model, the optimal scheduling strategy can be achieved by stochastic dynamic programming. The price of BFEC is determined by the variables and schedule of the BFEC. The simulations illustrate the block flexible electricity contracts can improve the power market´s efficiency.