Option Derivatives in the Electricity Hedging

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21230%2F10%3A00169483" target="_blank" >RIV/68407700:21230/10:00169483 - 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

Option Derivatives in the Electricity Hedging

Original language description

Despite the high volatility of electricity prices, there is still little demand for electricity power options, and the liquidity on the power exchanges of these power derivatives is quite low. One of the reasons is the uncertainty about how to evaluate these electricity 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 orwe have to evaluate volumetric risk (disability of customer to predict consumption, which is very similar with selling options

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

JE - Non-nuclear power engineering, energy consumption and utilization

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2010

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta Polytechnica

ISSN

1210-2709

e-ISSN

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Volume of the periodical

50

Issue of the periodical within the volume

4

Country of publishing house

CZ - CZECH REPUBLIC

Number of pages

5

Pages from-to

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UT code for WoS article

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EID of the result in the Scopus database

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