Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets

By H. Bessembinder, Michael L. Lemmon. 2002

739 citations recorded by the source corpus.

Subfields: Electrical and Electronic Engineering, Safety, Risk, Reliability and Quality

View Paper: https://www.semanticscholar.org/paper/efd737bdea6ceb2d50cae0c9fae3cb75a84876d8

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In Electrical and Electronic Engineering

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Citations in the corpus

A review of electricity product differentiation (2014, background): “Since spot electricity prices are highly volatile with occasional spikes [57–68], LSEs and customers may seek to manage electricity spot-price risk using such hedge instruments as, tolling agreements, forward contracts, and capacity options that are traded in financial markets [69–74].”
Optimizing the level of renewable electric R&D expenditures using real options analysis (2003, methodology): “The expected capital gain is .dd ddd)()d( 2 2 122 2 1 22 2 1 tKiPtP tPtiPtPdt B APPE FKKFFPP RRPPFKRP FF FP FF RRRF βφσφ σφφυφ σ αφπ ++ +−+−= 31 Electricity trading is confined to wholesale markets, either for delivery or cash settlement (Bessembinder and Lemmon 1999).”
Merit-order effects of renewable energy and price divergence in California’s day-ahead and real-time electricity markets (2016, background): “…s in the U.S. 1 Price volatility with occasional spikes has led to extensive research on electricity price behavior and dynamics (e.g., Johnsen, 2001; Bessembinder and Lemmon, 2002, 2006; Longstaff and Wang, 2004; Knittel and Roberts, 2005; Park et al., 2006; Haldrup and Nielsen, 2006; Mount et…”
An empirical examination of restructured electricity prices (2005, background): “For example, we confirm that power spot prices contain a positive skew that is larger (smaller) during periods of high (low) demand variability, as suggested by Bessembinder and Lemmon (2002). A similar pattern exists for the volatility of spot prices, higher (lower) during periods of high (low) dem”
Spot Price Modeling and the Valuation of Electricity Forward Contracts: The Role of Demand and Capacity (2007, neutral): “Their goal is to provide an empirical analysis of the theoretical predictions presented in Bessembinder and Lemmon (2002).”
A FIRST LOOK AT THE EMPIRICAL RELATION BETWEEN SPOT AND FUTURES ELECTRICITY PRICES IN THE UNITED STATES (2003, background): “Also, individuals with different endowments of a commodity can transfer price risk when the owners of large endowments go short while those with future requirements go long.5 Bessembinder and Lemmon (2002) present an equilibrium pricing model of forward electricity contracts.”
Option value of electricity demand response (2005, background): “Other approaches for constructing forward curves in electricity markets are described in Fleten and Lemming (2003); Avsar and Goss (2001); Bessembinder and Lemmon (2002) and Woo, Olson, and Orans (2004) analyze electricity market forward curves and discuss their limitations.”
Futures pricing in electricity markets based on stable CARMA spot models (2012, background): “Bessembinder and Lemmon [8] explain the existence of a positive premium in the short end of the futures market by an equilibrium model, where the skewness in spot prices induced by spikes is a crucial driver.”
Electricity Forward Prices: A High-Frequency Empirical Analysis (2002, methodology): “This negative sign is consistent with the implications of Bessembinder and Lemmon (2002); hypothesis 1 of their paper implies that the forward premium decreases in the anticipated variance of power prices.”
The Optimal Share of Variable Renewables: How the Variability of Wind and Solar Power affects their Welfare-optimal Deployment (2012, neutral): “While the economic literature has emphasized temporal heterogeneity (Bessiere 1970, Stoughton et al. 1980, Bessembinder & Lemmon 2002, Lamont 2008, Joskow 2011), the other two dimensions have not received similar attention.”
Electricity markets around the world (2018, background): “Bessembinder and Lemmon (2002) analyze the effect of hedging decisions for power producers and consumers on power prices, their season, as well as volatility.”
Spot and Derivative Pricing in the EEX Power Market (2007, background): “In the context of electricity forwards, one possible approach has been suggested by Bessembinder and Lemmon (2002). Generally, the forward premium, i.”