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Applied Economics Letters Volume 24, 2017 - Issue 20
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Original Articles

Intraday hedging with financial options: the case of electricity

Raphaël Homayoun BoroumandDepartment of Applied Economics, PSB Paris School of Business, Paris, France
&
Stéphane GoutteUniversité Paris 8 (LED), Saint-Denis Cedex, France;International School, Vietnam National University, Hanoi, VietnamCorrespondence[email protected]
Pages 1448-1454 | Published online: 07 Feb 2017

References

  • Boroumand, R. H. 2015. “Electricity Markets and Oligopolistic Behaviors: The Impact of a Multimarket Structure.” Research in International Business and Finance 33: 319–333. doi:10.1016/j.ribaf.2014.04.004.
  • Boroumand, R. H., and G. Zachmann. 2012. “Retailers Risk Management and Vertical Arrangements in Electricity Markets.” Energy Policy 40 (1): 465–472. doi:10.1016/j.enpol.2011.10.041.
  • Bushnell, J., E. Mansur, and C. Saravia. 2008. “Vertical Arrangements, Market Structure, and Competition: An Analysis of Restructured US Electricity Markets.” American Economic Review 98 (1): 237–266. doi:10.1257/aer.98.1.237.
  • Carrion, M., A. J. Conejo, and J. M. Arroyo. 2007. “Forward Contracting and Selling Price Determination for a Retailer.” IEEE Transactions on Power Systems 22 (4): 2105–2114. doi:10.1109/TPWRS.2007.907397.
  • Chemla, G., A. Porchet, R. Aid, and N. Touzi. 2011. “Hedging and Vertical Integration in Electricity Markets.” Management Science 57 (8): 1438–1452. doi:10.1287/mnsc.1110.1357.
  • Jun, X., B. Peter, P. B. Luh, F. B. White, E. Ni, and K. Kasiviswanathan. 2006. “Power Portfolio Optimization in Deregulated Electricity Markets with Risk Management.” IEEE Transactions on Power Systems 21 (4): 1653-1662.
  • Oum, Y., and S. Oren. 2010. “Optimal Static Hedging of Volumetric Risk in a Competitive Wholesale Electricity Market. Decision Analysis.” Special Issue in Memory of Michael H. Rothkopf. 7 (1): 107–122.
  • Oum, Y., S. Oren, and S. Deng. 2006. “Hedging Quantity Risks with Standard Power Options in a Competitive Wholesale Electricity Market.” Naval Research Logistics 53: 697–712. doi:10.1002/(ISSN)1520-6750.

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