Stochastic models for bidding strategies on oligopoly electricity market
In this paper we consider the forward/futures contracts and Asian-type call options for power delivery as important components of the bidding strategies of the players’ profits on the electricity market. We show how these derivatives can affect their profit. We use linear asymmetric supply function equilibrium (SFE) and Cournot models to develop firms’ optimal bidding strategies by including forward/futures contracts and Asian-type options. We extend the methodology proposed by Niu et al. (IEEE Trans Power Syst 20(4):1859–1867, 2005), where only forward contracts for power delivery were considered in the SFE model. Copyright Springer-Verlag 2009
Volume (Year): 69 (2009)
Issue (Month): 3 (July)
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References listed on IDEAS
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