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Optimal bidding strategies on the power market based on the stochastic models

Author

Listed:
  • Magdalena Weglarz
  • Agnieszka Wylomanska

Abstract

In this paper we concentrate on power producers’ strategies on the electricity market with contracts and Asian-type call options for power delivery. We propose stochastic asymmetric supply function equilibrium and Cournot models that are based on the assumption of the stochastic behavior of electricity prices. We demonstrate how in this stochastic case the considered derivatives influence on the power producers’ profits. In order to demonstrate theoretical results to the analysis we use the real electricity prices.

Suggested Citation

  • Magdalena Weglarz & Agnieszka Wylomanska, 2010. "Optimal bidding strategies on the power market based on the stochastic models," HSC Research Reports HSC/10/06, Hugo Steinhaus Center, Wroclaw University of Technology.
    • Handle: RePEc:wuu:wpaper:hsc1006
    as

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    File URL: http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_10_06.pdf
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Power market; Supply function equilibrium; Cournot model; option for power delivery;
    All these keywords.

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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