Abstract:
As a consequence of competition in electricity markets, a wide variety of financial derivatives have emerged to allow market agents to hedge against risks. Electricity op...Show MoreMetadata
Abstract:
As a consequence of competition in electricity markets, a wide variety of financial derivatives have emerged to allow market agents to hedge against risks. Electricity options and forward contracts constitute adequate instruments to manage the financial risks pertaining to price volatility or unexpected unit failures faced by power producers. A multi-stage stochastic model is described in this tutorial paper to determine the optimal forward and option contracting decisions for a risk-averse power producer. The key features of electricity options to reduce both price and availability risks are illustrated by using two examples.
Published in: Journal of Modern Power Systems and Clean Energy ( Volume: 1, Issue: 2, September 2013)
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- IEEE Keywords
- Index Terms
- Financial Risk ,
- Power Production ,
- Stochastic Model ,
- Market Power ,
- Optimal Option ,
- Unexpected Failures ,
- Optional Features ,
- Beginning Of Period ,
- Financial Losses ,
- Average Price ,
- Price Stability ,
- Period 1 ,
- Market Risk ,
- Period 2 ,
- Stochastic Problem ,
- Autoregressive Integrated Moving Average Model ,
- Decision Framework ,
- Amount Of Electricity ,
- Option Pricing ,
- Delivery Period ,
- Mean Time To Failure ,
- Day-ahead Market ,
- Future Time Periods ,
- Price Scenarios ,
- Cost Option ,
- Stochastic Programming Model ,
- Price Variation ,
- Illustrative Example
- Author Keywords
Contents Keywords assist with retrieval of results and provide a means to discovering other relevant content. Learn more.
- IEEE Keywords
- Index Terms
- Financial Risk ,
- Power Production ,
- Stochastic Model ,
- Market Power ,
- Optimal Option ,
- Unexpected Failures ,
- Optional Features ,
- Beginning Of Period ,
- Financial Losses ,
- Average Price ,
- Price Stability ,
- Period 1 ,
- Market Risk ,
- Period 2 ,
- Stochastic Problem ,
- Autoregressive Integrated Moving Average Model ,
- Decision Framework ,
- Amount Of Electricity ,
- Option Pricing ,
- Delivery Period ,
- Mean Time To Failure ,
- Day-ahead Market ,
- Future Time Periods ,
- Price Scenarios ,
- Cost Option ,
- Stochastic Programming Model ,
- Price Variation ,
- Illustrative Example
- Author Keywords