• DocumentCode
    2596689
  • Title

    Power market risk management based on range forward contracts

  • Author

    Wang, F. ; Zhou, X.Y.

  • Author_Institution
    Orient Sci. & Technol. Coll., Hunan Agric. Univ., Changsha, China
  • fYear
    2009
  • fDate
    6-7 April 2009
  • Firstpage
    1
  • Lastpage
    7
  • Abstract
    For hedging the market risk, the electrical forward contracts are subjected to the extensive concern and research. A new electricity range forward contract with bilateral financial options is introduced, which allows both seller and buyer to take advantage of flexibility in generation and consumption to obtain benefits while simultaneously removing the risk of market price fluctuations. The optimal quantity of put options and call options can be calculated by modeling the maximum expected benefits of them. It is explained that seller and buyer can achieve his or her higher expected benefits with purchasing the put options and call options than not from the numerical analysis. It is also explained that both parties sign the range forward contracts will help to raise total social benefits.
  • Keywords
    contracts; power markets; power system economics; risk management; electrical forward contract; market price fluctuation; power market risk management; range forward contract; Energy consumption; Fluctuations; Forward contracts; Mathematical model; Mathematics; Power generation; Power markets; Pricing; Probability distribution; Risk management; call option; decision-making optimal; power market; put option; range forward contracts;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Sustainable Power Generation and Supply, 2009. SUPERGEN '09. International Conference on
  • Conference_Location
    Nanjing
  • Print_ISBN
    978-1-4244-4934-7
  • Type

    conf

  • DOI
    10.1109/SUPERGEN.2009.5347889
  • Filename
    5347889