Valuation of option premiums in electricity market

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Valuation of option premiums in electricity market

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Valuation of option premiums in electricity market

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

JE - Nejaderná energetika, spotřeba a užití energie

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2010

Kód důvěrnosti údajů

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

Název statě ve sborníku

The Future of Energy: Global Challenges, Diverse Solutions

ISBN

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ISSN

1559-792X

e-ISSN

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Počet stran výsledku

4

Strana od-do

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Název nakladatele

IAEE

Místo vydání

Cleveland

Místo konání akce

Rio de Janeiro

Datum konání akce

6. 6. 2010

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

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