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

页码：669 / 674

页数：6

共 50 条

[31] The overnight risk premium in electricity forward contracts
Fleten, Stein-Erik
Hagen, Liv Aune
Nygard, Maria Tandberg
Smith-Sivertsen, Ragnhild
Sollie, Johan M.
ENERGY ECONOMICS, 2015, 49 : 293 - 300
[32] Competition and contracts in the Nordic residential electricity markets
Judge Business School, Trumpington Street, Cambridge, CB2 1AG, United Kingdom
Util. Policy, 2006, 3 (135-147):
[33] Analyzing the Equilibrium of Oligopoly Electricity Markets with Contracts
Ma, Xin
ADVANCES IN BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, 2008, 5 : 511 - 516
[34] Competition Contracts and Electricity Markets: A New Perspective
Hardiman, Donogh
WORLD COMPETITION, 2013, 36 (04): : 615 - 615
[35] Forward contracts and market power in an electricity market
Anderson, Edward J.
Hu, Xinmin
INTERNATIONAL JOURNAL OF INDUSTRIAL ORGANIZATION, 2008, 26 (03) : 679 - 694
[36] OPTIONS CONTRACTS AND COMPLETENESS OF FINANCIAL-MARKETS
ROGER, P
REVUE ECONOMIQUE, 1991, 42 (05): : 787 - 800
[37] Flexible investment decisions: Application of real options theory in liberalized electricity markets
Dong, J
Li, X
PROCEEDINGS OF THE 2005 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING (12TH), VOLS 1- 3, 2005, : 2357 - 2362
[38] The microeconomics of forward pricing in electricity markets
Van der Hoek, J
Sherris, M
Stavrou, A
INSURANCE MATHEMATICS & ECONOMICS, 2003, 32 (03): : 486 - 487
[39] Dynamics in Forward and Spot Electricity Markets
Sanchez, Juan J.
Bunn, Derek W.
Centeno, Efraim
Barquin, Julian
IEEE TRANSACTIONS ON POWER SYSTEMS, 2009, 24 (02) : 582 - 591
[40] Mitigating Market Power and Promoting Competition in Electricity Markets through a Preventive Approach: The Role of Forward Contracts
Hakam, Dzikri Firmansyah
ENERGIES, 2023, 16 (08)

← 1 2 3 4 5 →