Managing the financial risks of electricity producers using options

被引：39
|
作者：
Pineda, S. [1 ]
Conejo, A. J. [1 ]
机构：
[1] Univ Castilla La Mancha, Dept Elect Engn, E-13071 Ciudad Real, Spain
来源：
ENERGY ECONOMICS | 2012年 / 34卷 / 06期
关键词：
Electricity market; Option; Forward contract; Electricity producer; Risk; Multi-stage stochastic programming; CONTRACTS; MARKETS;
D O I：
10.1016/j.eneco.2012.03.016
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Electricity producers participating in electricity markets face risks pertaining to both selling prices and the availability of the production units. Among electricity derivatives, options represent an adequate instrument to manage these risks. In this paper, we propose a multi-stage stochastic model to determine the optimal selling strategy of a risk-averse electricity producer including options, forward contracts, and pool trading. A detailed case study highlights the advantages of an option vs. a forward contract to hedge against the financial risks related to pool prices and unexpected unit failures. (C) 2012 Elsevier B.V. All rights reserved.
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页码：2216 / 2227
页数：12
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