About: Valuation of option premiums in electricity market

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	Despite the high volatility of electricity prices, there is still little demand for electricity power options and liquidity on the power exchanges of these power derivatives is quite low. One of the reasons is the uncertainty about how to evaluate these electricity options and about finding the right fair value of this product. Hedging of electricity is associated mainly with products as futures and forwards. But due to new trends in electricity trading and hedging, there is also useful to think more about options and the principles how to work with them in hedging of portfolio different positions and counterparties. We can solve quite often situation when we need to have perfect hedge of our customers (end user consuming electricity) portfolio or we have to evaluate volumetric risk (disability of customer to predict consumption, which is very similar with selling options. Now comes the moment to compare effects of using options or futures to hedge this open positions. Despite the high volatility of electricity prices, there is still little demand for electricity power options and liquidity on the power exchanges of these power derivatives is quite low. One of the reasons is the uncertainty about how to evaluate these electricity options and about finding the right fair value of this product. Hedging of electricity is associated mainly with products as futures and forwards. But due to new trends in electricity trading and hedging, there is also useful to think more about options and the principles how to work with them in hedging of portfolio different positions and counterparties. We can solve quite often situation when we need to have perfect hedge of our customers (end user consuming electricity) portfolio or we have to evaluate volumetric risk (disability of customer to predict consumption, which is very similar with selling options. Now comes the moment to compare effects of using options or futures to hedge this open positions. (en)
Title	Valuation of option premiums in electricity market Valuation of option premiums in electricity market (en)
skos:prefLabel	Valuation of option premiums in electricity market Valuation of option premiums in electricity market (en)
skos:notation	RIV/68407700:21230/10:00169476!RIV11-MSM-21230___
http://linked.open...avai/riv/aktivita	S
http://linked.open...avai/riv/aktivity	S
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Pavlátka, Pavel Starý, Oldřich
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	České vysoké učení technické v Praze / Fakulta elektrotechnická
http://linked.open...dnocenehoVysledku	295225
http://linked.open...ai/riv/idVysledku	RIV/68407700:21230/10:00169476
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	option,black-scholes,Monte Carlo (en)
http://linked.open.../riv/klicoveSlovo	option Monte Carlo black-scholes
http://linked.open...ontrolniKodProRIV	[D2047BDE6E58]
http://linked.open...v/mistoKonaniAkce	Rio de Janeiro
http://linked.open...i/riv/mistoVydani	Cleveland
http://linked.open...i/riv/nazevZdroje	The Future of Energy: Global Challenges, Diverse Solutions
http://linked.open...in/vavai/riv/obor	JE
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Pavlátka, Pavel Starý, Oldřich
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2010-06-06 (xsd:date)
issn	1559-792X
number of pages	4 (xsd:int)
http://purl.org/ne...btex#hasPublisher	IAEE
http://localhost/t...ganizacniJednotka	21230

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