Abstract
This paper presents the modeling and analysis of a new forward contract with bilateral options in electricity market. This new contract enables both the seller and the buyer to take advantage of flexibility in generation and consumption to obtain a monetary benefit while simultaneously removing the risk of market price fluctuations. Theoretical model for pricing this type of forward contract is developed and analyzed. Some distinguishing features are revealed. Numerical examples are used to demonstrate the validity of the proposed model.
| Original language | English |
|---|---|
| Pages (from-to) | 11-16 |
| Number of pages | 6 |
| Journal | Dianli Xitong Zidonghua/Automation of Electric Power Systems |
| Volume | 27 |
| Issue number | 21 |
| Publication status | Published - 10 Nov 2003 |
Keywords
- Electricity market
- Forward contracts
- Option
- Pricing model
- Risk management
ASJC Scopus subject areas
- Control and Systems Engineering
- Energy Engineering and Power Technology
- Computer Science Applications
- Electrical and Electronic Engineering