2024
DOI: 10.3390/risks12020018
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Stochastic Modeling of Wind Derivatives with Application to the Alberta Energy Market

Sudeesha Warunasinghe,
Anatoliy Swishchuk

Abstract: Wind-power generators around the world face two risks, one due to changes in wind intensity impacting energy production, and the second due to changes in electricity retail prices. To hedge these risks simultaneously, the quanto option is an ideal financial tool. The natural logarithm of electricity prices of the study will be modeled with a variance gamma (VG) and normal inverse Gaussian (NIG) processes, while wind speed and power series will be modeled with an Ornstein–Uhlenbeck (OU) process. Since the risk … Show more

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