664
Views
0
CrossRef citations to date
0
Altmetric
Research Article

Hedging Strategies in Commodity Markets – Rolling Intrinsic and Delta Hedging for Virtual Power Plants

Pages 550-582 | Received 03 Sep 2020, Accepted 02 Mar 2021, Published online: 18 Mar 2021

References

  • Andreis, L., M. Flora, F. Fontini, and T. Vargiolu. 2020. “Pricing Reliability Options under Different Electricity Price Regimes.” Energy Economics 87: 104705. doi:10.1016/j.eneco.2020.104705.
  • Bachelier, L. 1900. “Théorie de la spéculation.” Annales scientifiques de l’École Normal Supérieure 30 (17): 0 21–86. doi:10.24033/asens.476.
  • Bannör, K., R. Kiesel, A. Nazarova, and M. Scherer. 2016. “Parametric Model Risk and Power Plant Valuation.” Energy Economics 59: 423–434. doi:10.1016/j.eneco.2016.08.004.
  • Benth, F., J. Ŝaltyte-Benth, and S. Koekebakker. 2008. “Stochastic Modelling of Electricity and Related Markets.” Singapur: World Scientific.
  • Biegler-König, R., and K. F. Pilz. 2015. “Arbitrage-free Shifting of Price Forward Curves - an Efficient and Generic Algorithm.” Online Paper.
  • Bingham, N., and R. Kiesel. 2004. Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives. Springer-Verlag, London.
  • Burger, M., B. Graeber, and G. Schindlmayr. 2007. Managing Energy Risk. Chichester: John Wiley & Sons.
  • Carr, P. P., R. A. Jarrow, and R. Myneni. 1992. “Alternative Characteristics of American Put Options.” Mathematical Finance 2: 87–106. doi:10.1111/j.1467-9965.1992.tb00040.x.
  • de Jong, C., D. Van Abbema, and H. Van Dijken. 2010. “The Value of Starting up a Power Plant.” World Power.
  • Jarrow, R. A., and P. P. Carr. 1990. “The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value.” Review of Financial Studies 3: 469–492. doi:10.1093/rfs/3.3.469.
  • Karatzas, I., and S. Shreve. 1991. Brownian Motion and Stochastic Calculus. 2nd ed. New York: Springer.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.