TY - JOUR
T1 - Valuation of forward contracts in electricity markets. Application to the ecuadorian market
AU - Quizhpe, Klever
AU - Baillo, Alvaro
AU - Ventosa, Mariano
PY - 2008/6
Y1 - 2008/6
N2 - One of the main characteristics in the electricity markets is the volatileness of the spot price. The uncertainty associated to the price is a source of risk as much for the selling agents (generation companies) like for the buying agents. For this reason, is necessary to develop tools and methodologies of analysis, valuation and risk management associated to the generation business. This paper proposes, formulates and develops a procedure for the valuation of forward contracts with the objective to obtain a suitable balance between risk and rentability in the context of the generation companies that operate in the ecuadorian electricity market.
AB - One of the main characteristics in the electricity markets is the volatileness of the spot price. The uncertainty associated to the price is a source of risk as much for the selling agents (generation companies) like for the buying agents. For this reason, is necessary to develop tools and methodologies of analysis, valuation and risk management associated to the generation business. This paper proposes, formulates and develops a procedure for the valuation of forward contracts with the objective to obtain a suitable balance between risk and rentability in the context of the generation companies that operate in the ecuadorian electricity market.
UR - http://dx.doi.org/10.1109/tla.2008.4609916
U2 - 10.1109/tla.2008.4609916
DO - 10.1109/tla.2008.4609916
M3 - Artículo
SN - 1548-0992
JO - IEEE Latin America Transactions
JF - IEEE Latin America Transactions
ER -