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Publication
Hedging Using Futures and Options Contracts in the Electricty Market
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Advisor(s)
Abstract(s)
Since the 80’s with the experience of Chile, the
electric sector has suffered, in many counties, a process of
deregulation and liberalization. In almost of the countries, that
process originated the appearance of a Pool where the
participants of the market trade the electrical energy on a basis
of half-hour or one hour of the next day. However, like the
traditional markets, the agents of electricity markets are now
exposed to the volatility of market price, so far inexistent in
those markets. In some countries, to face that problem and to
turn the market more liquid have been introduced derivatives
markets – futures and options, to negotiate products with
underlying active the electrical energy. In this context, there is a
need of decision-support tools that allow those agents to use
derivatives markets with the objective of practicing the hedge
and simultaneously increase their results. In this paper, we
present a decision model that supports producers in the
establishment of contracts with the objective to maximize the
profit expected utility. The paper presents a group of examples
of the use of this decision-support system.
Description
Keywords
Risk Management Hedge Electricity Markets Contracts Decision