Valuation of option premiums in electricity market

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21230%2F10%3A00169476" target="_blank" >RIV/68407700:21230/10:00169476 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Valuation of option premiums in electricity market
Original language description
Despite the high volatility of electricity prices, there is still little demand for electricity power options and liquidity on the power exchanges of these power derivatives is quite low. One of the reasons is the uncertainty about how to evaluate theseelectricity options and about finding the right fair value of this product. Hedging of electricity is associated mainly with products as futures and forwards. But due to new trends in electricity trading and hedging, there is also useful to think more about options and the principles how to work with them in hedging of portfolio different positions and counterparties. We can solve quite often situation when we need to have perfect hedge of our customers (end user consuming electricity) portfolio or we have to evaluate volumetric risk (disability of customer to predict consumption, which is very similar with selling options. Now comes the moment to compare effects of using options or futures to hedge this open positions.
Czech name
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Czech description
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Type
D - Article in proceedings
CEP classification
JE - Non-nuclear power engineering, energy consumption and utilization
OECD FORD branch
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Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
The Future of Energy: Global Challenges, Diverse Solutions
ISBN
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ISSN
1559-792X
e-ISSN
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Number of pages
4
Pages from-to
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Publisher name
IAEE
Place of publication
Cleveland
Event location
Rio de Janeiro
Event date
Jun 6, 2010
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
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