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Under a market environments, there are a lot of uncertainties, such as fluctuation of power prices, shortage of fuel supply and rising of fuel prices, which make generators encounter serious profits loss risk. For stabilizing profits, it is necessary for generators to establish an efficient and optimal risk management technique mix. By adopting the real option, this paper establishes a real option model in which contract electricity is taken into consideration. The optimal output of generator unit in contract market and spot market is obtained after the simulation, and then generators' profits may be maximized. Besides, by using profits loss insurance included in property insurance for reference, this paper proposes an independent profits loss insurance which is suitable for generating enterprises, and then it is combined with the real option to transfer generators' profits loss risk.