Forward contracts with bilateral options in electricity markets: Theory and analysis

被引：0
|
作者：
Chung, TS [1 ]
Zhang, SH [1 ]
Wong, KP [1 ]
Yu, CW [1 ]
Chung, CY [1 ]
机构：
[1] Hong Kong Polytech Univ, Hong Kong, Hong Kong, Peoples R China
来源：
IPEC 2003: Proceedings of the 6th International Power Engineering Conference, Vols 1 and 2 | 2003年
关键词：
electricity markets; risk management; optional forward contracts; pricing model;
D O I：
暂无
中图分类号：
TM [电工技术]; TN [电子技术、通信技术];
学科分类号：
0808 ; 0809 ;
摘要：
This paper presents an electricity forward contract with bilateral options, which enables both the seller and buyer to take advantage of flexibility in generation and consumption to obtain a monetary benefit while simultaneously removing the risk of market price fluctuations. Theoretical model for pricing this type of forward contract is developed and analyzed. Some distinguishing features are revealed. Numerical examples are used to demonstrate the validity of the proposed model.
引用
收藏
页码：669 / 674
页数：6
相关论文
共 50 条
  • [21] Effects of Option Contracts on Electricity Markets: A Cournot Equilibrium Analysis
    Zhang Shaohua
    Fu Xinhua
    Wang Xian
    2012 ASIA-PACIFIC POWER AND ENERGY ENGINEERING CONFERENCE (APPEEC), 2012,
  • [22] Bilateral Contracting in Multi-agent Energy Markets: Forward Contracts and Risk Management
    Algarvio, Hugo
    Lopes, Fernando
    Santana, Joao
    HIGHLIGHTS OF PRACTICAL APPLICATIONS OF AGENTS, MULTI-AGENT SYSTEMS, AND SUSTAINABILITY: THE PAAMS COLLECTION, PAAMS 2015, 2015, 524 : 260 - 269
  • [23] Financial contracts for differences: The problems with conventional CfDs in electricity markets and how forward contracts can help solve them
    Schlecht, Ingmar
    Maurer, Christoph
    Hirth, Lion
    ENERGY POLICY, 2024, 186
  • [24] Supply function Nash equilibrium of joint day-ahead electricity markets and forward contracts
    Banaei, Mohsen
    Buygi, Majid Oloomi
    Sheybani, Hani Raouf
    INTERNATIONAL JOURNAL OF ELECTRICAL POWER & ENERGY SYSTEMS, 2019, 113 : 104 - 116
  • [25] A TWO-STAGE LINEAR SUPPLY FUNCTION EQUILIBRIUM MODEL FOR ELECTRICITY MARKETS WITH FORWARD CONTRACTS
    Zhang, Dali
    Kim, Sujin
    PACIFIC JOURNAL OF OPTIMIZATION, 2011, 7 (02): : 297 - 315
  • [26] Bilateral Forward Contracts and Spot Prices
    Adilov, Nodir
    ENERGY JOURNAL, 2010, 31 (03): : 67 - 81
  • [27] Competition with forward contracts: A laboratory analysis motivated by electricity market design
    Brandts, Jordi
    Pezanis-Christou, Paul
    Schram, Arthur
    ECONOMIC JOURNAL, 2008, 118 (525): : 192 - 214
  • [28] Exotic options for interruptible electricity supply contracts
    Kamat, R
    Oren, SS
    OPERATIONS RESEARCH, 2002, 50 (05) : 835 - 850
  • [29] Exotic options bundled with interruptible electricity contracts
    Zhang, Man
    Wang, Xifan
    Wang, Xiuli
    IPEC: 2005 INTERNATIONAL POWER ENGINEERING CONFERENCE, VOLS 1 AND 2, 2005, : 110 - 115
  • [30] Competition, Contracts and Electricity Markets: A New Perspective
    Neumann, Anne
    ECONOMICS OF ENERGY & ENVIRONMENTAL POLICY, 2012, 1 (03) : 131 - 133
12345