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
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