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In this research, a bidding problem for a wind-power plant participating in a dayahead power market with uncertain correlated market prices is studied. A new robust optimization approach considering correlation among uncertainty on the hourly prices in a day-ahead market is developed. This results in solutions with lower level of over-conservatism. For this purpose a new correlated polyhedral uncertainty set is introduced. To consider the uncertainty of market clearing prices and the value of power produced by wind power producer a bidding algorithm is developed. Results of the study using a robust modelling the bidding problem reveal that the appliance of the proposed model on the bidding problem for a price-taker wind power plant in a day-ahead market with uncertain correlated data leads to solutions with superior performance than that of the conventional polyhedral uncertainty sets.