Title :
Volumetric hedging in electricity procurement
Author :
Oum, Yumi ; Oren, Shmuel ; Deng, Shijie
Author_Institution :
Univ. of California, Berkeley
Abstract :
Load serving entities (LSE) providing electricity service at regulated prices in restructured electricity markets, face price and quantity risk. We address the hedging problem of such a risk averse LSE. Exploiting the correlation between consumption quantities and spot prices, we developed an optimal, zero-cost hedging function characterized by payoff as function of spot price. We then show how such a hedging strategy can be implemented through a portfolio of call and put options.
Keywords :
power markets; power system economics; pricing; procurement; electricity markets; electricity procurement; electricity service; load serving entities; price regulation; volumetric hedging; zero-cost hedging function; Electricity supply industry; Fluctuations; Forward contracts; Industrial engineering; Operations research; Portfolios; Procurement; Systems engineering and theory; Uncertainty; Weather forecasting;
Conference_Titel :
Power Tech, 2005 IEEE Russia
Conference_Location :
St. Petersburg
Print_ISBN :
978-5-93208-034-4
Electronic_ISBN :
978-5-93208-034-4
DOI :
10.1109/PTC.2005.4524553
