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

Magdalena Węglarz and Agnieszka Wyłomańska

No HSC/10/06, HSC Research Reports from Hugo Steinhaus Center, Wroclaw University of Science and Technology

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.

Keywords: Power market; Supply function equilibrium; Cournot model; option for power delivery (search for similar items in EconPapers)
JEL-codes: C73 G13 Q41 (search for similar items in EconPapers)
Pages: 8 pages
Date: 2010
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Published in the Proceedings of the Modern Electric Power Systems MEPS'10 International Symposium, September 20-22, 2010, Wroc³aw, Poland.

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http://www.im.pwr.wroc.pl/~hugo/RePEc/wuu/wpaper/HSC_10_06.pdf Original version, 2010 (application/pdf)

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