We consider an oligopolistic market consisting of power producers, power marketers, consumers and an ISO. Power production is competitive, power marketing is oligopolistic and consumers are price takers. The ISO organises transmission. Three different transmission pricings are considered: short run opportunity cost, (approximate) long run marginal cost and fully distributed cost...
The electric power industry is going through deregulation. Instead of an electric utility controlling the market in a specific region, energy suppliers will be allowed to compete in an open market and customers will choose their providers. In such an environment, generating companies need to consider uncertainties when evaluating electricity contracts...
We consider an open energy market with uncertainty in electricity demand. Each bidder has to decide on the quantity and price of the bid to maximize profit. All dispatched units are sold at the market-clearing price, which is the highest bid price among the dispatched units. Under the assumption of market stability, we find Nash equilibrium solutions and bidders' optimal bidding strategies.
We present a methodology for valuing electricity derivatives. Valuation formulae are derived for both geometric Brownian motion and mean reverting price processes. These valuation results are used to construct real options-based valuation formulae for generation and transmission assets. Theoretical values of generation assets are compared to the observed recent sales prices.
For information on individual presentations, please contact the authors directly.