2023
DOI: 10.3390/en16093809
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Construction of Mixed Derivatives Strategy for Wind Power Producers

Abstract: Due to the inherent uncertainty of wind conditions as well as the price unpredictability in the competitive electricity market, wind power producers are exposed to the risk of concurrent fluctuations in both price and volume. Therefore, it is imperative to develop strategies to effectively stabilize their revenues, or cash flows, when trading wind power output in the electricity market. In light of this context, we present a novel endeavor to construct multivariate derivatives for mitigating the risk of fluctu… Show more

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Cited by 5 publications
(2 citation statements)
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“…There is literature available on studying different types of wind derivatives for windenergy markets (Yamada and Matsumoto 2023), e.g., using collar options by Masala et al (2022) for France's electricity market, using barrier options by authors Xiao et al (2016) for electricity market of Iberian and by Rodríguez et al (2021) to price the put-type barrier option as the wind derivative for Columbia wind-energy market based on Nordix index. Moreover, Kanamura et al (2021) used call options as the wind derivatives for European data and Benth and Pircalabu (2017) used futures as the wind derivative for German data.…”
Section: Literature Reviewmentioning
confidence: 99%
“…There is literature available on studying different types of wind derivatives for windenergy markets (Yamada and Matsumoto 2023), e.g., using collar options by Masala et al (2022) for France's electricity market, using barrier options by authors Xiao et al (2016) for electricity market of Iberian and by Rodríguez et al (2021) to price the put-type barrier option as the wind derivative for Columbia wind-energy market based on Nordix index. Moreover, Kanamura et al (2021) used call options as the wind derivatives for European data and Benth and Pircalabu (2017) used futures as the wind derivative for German data.…”
Section: Literature Reviewmentioning
confidence: 99%
“…Wind Power Futures and other financial contracts are steadily launched by EEX and attract potential investors [8,[54][55][56]. The market is on a premature level and scientific research has the potential to pave the way for the development of new derivatives designed to capture various dimensions of volumetric risk [7,57]. In addition, future studies could broaden their scope to encompass even larger geographical areas, such as entire continents, or delve into the interconnection challenges between multiple continents to address optimization problems in spatial resource allocation, accounting for constraints such as transmission capacity.…”
Section: Conclusion and Future Researchmentioning
confidence: 99%