Optimal bidding strategies on the power market based on the stochastic models
AbstractIn 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.
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Bibliographic InfoPaper provided by Hugo Steinhaus Center, Wroclaw University of Technology in its series HSC Research Reports with number HSC/10/06.
Length: 8 pages
Date of creation: 2010
Date of revision:
Publication status: Published in the Proceedings of the Modern Electric Power Systems MEPS'10 International Symposium, September 20-22, 2010, Wroc³aw, Poland.
Power market; Supply function equilibrium; Cournot model; option for power delivery;
Find related papers by 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
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