Option Derivatives in the Electricity Hedging

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

Option Derivatives in the Electricity Hedging

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Option Derivatives in the Electricity Hedging

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

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 periodika

Acta Polytechnica

ISSN

1210-2709

e-ISSN

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Svazek periodika

50

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

5

Strana od-do

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Kód UT WoS článku

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EID výsledku v databázi Scopus

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