Managing the financial risks of electricity producers using options

被引：40
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.
引用
收藏
页码：2216 / 2227
页数：12
相关论文
共 34 条
[1]  
[Anonymous], 1984, RELIABILITY EVALUATI, DOI DOI 10.1007/978-1-4899-1860-4
[2]  
[Anonymous], 1997, Introduction to stochastic programming
[3]   GENERATORS AND THE COST OF ELECTRICITY OUTAGES [J].
BEENSTOCK, M .
ENERGY ECONOMICS, 1991, 13 (04) :283-289
[4]   Stochastic modeling of financial electricity contracts [J].
Benth, Fred Espen ;
Koekebakker, Steen .
ENERGY ECONOMICS, 2008, 30 (03) :1116-1157
[5]   Forecasting electricity prices for a day-ahead pool-based electric energy market [J].
Conejo, AJ ;
Contreras, J ;
Espínola, R ;
Plazas, MA .
INTERNATIONAL JOURNAL OF FORECASTING, 2005, 21 (03) :435-462
[6]   Optimal involvement in futures markets of a power producer [J].
Conejo, Antonio J. ;
Garcia-Bertrand, Raquel ;
Carrion, Miguel ;
Caballero, Angel ;
de Andres, Antonio .
IEEE TRANSACTIONS ON POWER SYSTEMS, 2008, 23 (02) :703-711
[7]   Electricity derivatives and risk management [J].
Deng, SJ ;
Oren, SS .
ENERGY, 2006, 31 (6-7) :940-953
[8]  
Dhillon BS, 2007, SPRINGER SER RELIAB, P1, DOI 10.1007/978-1-84628-498-4
[9]  
Fleten SE, 2002, IMA V MATH, V128, P71
[10]   Short-term hydropower production planning by stochastic programming [J].
Fleten, Stein-Erik ;
Kristoffersen, Trine Krogh .
COMPUTERS & OPERATIONS RESEARCH, 2008, 35 (08) :2656-2671
1234