The Transactions of the Korean Institute of Electrical Engineers A (대한전기학회논문지:전력기술부문A)

The Korean Institute of Electrical Engineers (대한전기학회)
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Optimal Hedge Strategy Using Future Contract in the Vesting Contract Electricity Market

베스팅계약 전력시장에서 선물 최적헷지전략 연구

  • Published : 2004.07.01
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Abstract

In TWBP new uncertainty will be increased. Risk management is risen to a important problem. Vesting contract makes market Players trade at fixed price in TWBP early stages. In the case of advanced country, market players manage risk with a future contract. When a risk management method moves from vesting contract to future contract, it may have to use together two contracts for schedule period. In this paper, risk management strategy that use vesting contract and forward contract at the same time is proposed.

Keywords

References

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  2. Steven Stoft, 'Power System Economics Designing Markets for Electricity,' IEEE Press, 2003
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