Cross hedging and forward-contract pricing of electricity
We consider the problem of an electric-power marketer offering a fixed-price forward contract to provide electricity that it purchases from a potentially volatile and unpredictable fledgling spot energy market. One option for the risk-averse marketer who wants to hedge against the spot-price volatil...
Gespeichert in:
| Veröffentlicht in: | Energy economics 2001, Vol.23 (1), p.1-15 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 15 |
|---|---|
| container_issue | 1 |
| container_start_page | 1 |
| container_title | Energy economics |
| container_volume | 23 |
| creator | Woo, Chi-Keung Horowitz, Ira Hoang, Khoa |
| description | We consider the problem of an electric-power marketer offering a fixed-price forward contract to provide electricity that it purchases from a potentially volatile and unpredictable fledgling spot energy market. One option for the risk-averse marketer who wants to hedge against the spot-price volatility is to engage in cross hedging to reduce the contract's profit variance, and to determine the forward-contract price as a risk-adjusted price — the sum of a baseline price and a risk premium. We show how the marketer can estimate the spot-price relationship between two wholesale energy markets for the purpose of cross hedging, as well as the optimal hedge and the forward contract's baseline price and risk premium. |
| doi_str_mv | 10.1016/S0140-9883(00)00071-2 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_38994224</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>S0140988300000712</els_id><sourcerecordid>38994224</sourcerecordid><originalsourceid>FETCH-LOGICAL-c638t-dab12732206406fe424f2f21ee25455f0e8c885b2cedf95181edaa6b6f332cbd3</originalsourceid><addsrcrecordid>eNqFkV1LBCEUhiUK2j5-QjBERF1MHXV0nauIpS8IuqiuxXWOZcyOm84W--9zdiOimwR9FZ9zeH0l5IDCGQUqzx-BVlDWSvETgFMAGNOSbZARVWNeSqroJhn9INtkJ6W3DAkp1IjUkxhSKl6xefHdS2G6pnAhfprYlDZ0fTS2L-bR2-EyuAJbtP1w7Jd7ZMuZNuH-t-6S5-urp8ltef9wcze5vC-t5KovGzOlbMwZA1mBdFixyjHHKCITlRAOUFmlxJRZbFwtsltsjJFT6ThndtrwXXK87juP4X2Bqdcznyy2rekwLJLmqq4rxqoMHv4B38IidtmbZpQKxepaZUisITu8O6LT-XUzE5eagh7S1Ks09RCVBtCrNDXLdTfruohztD9FmEeHaIP-0NwwnpflsAGgWXyeg85XSoV-7We509G3TZOsaV00nfXplw1ey0pm7GKNYc72w2PUyXrscko-5j_QTfD_WP4C-L6gDA</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>211582998</pqid></control><display><type>article</type><title>Cross hedging and forward-contract pricing of electricity</title><source>RePEc</source><source>PAIS Index</source><source>Access via ScienceDirect (Elsevier)</source><creator>Woo, Chi-Keung ; Horowitz, Ira ; Hoang, Khoa</creator><creatorcontrib>Woo, Chi-Keung ; Horowitz, Ira ; Hoang, Khoa</creatorcontrib><description>We consider the problem of an electric-power marketer offering a fixed-price forward contract to provide electricity that it purchases from a potentially volatile and unpredictable fledgling spot energy market. One option for the risk-averse marketer who wants to hedge against the spot-price volatility is to engage in cross hedging to reduce the contract's profit variance, and to determine the forward-contract price as a risk-adjusted price — the sum of a baseline price and a risk premium. We show how the marketer can estimate the spot-price relationship between two wholesale energy markets for the purpose of cross hedging, as well as the optimal hedge and the forward contract's baseline price and risk premium.</description><identifier>ISSN: 0140-9883</identifier><identifier>EISSN: 1873-6181</identifier><identifier>DOI: 10.1016/S0140-9883(00)00071-2</identifier><identifier>CODEN: EECODR</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Applied sciences ; Contracts ; Cross hedging ; Economic data ; Electric energy ; Electric power ; Electricity ; Energy ; Energy economics ; Energy market ; Exact sciences and technology ; Forward exchange contracts ; Forward-contract pricing ; General, economic and professional studies ; Hedging ; Methodology. Modelling ; Pricing ; Risk premiums ; Studies</subject><ispartof>Energy economics, 2001, Vol.23 (1), p.1-15</ispartof><rights>2001 Elsevier Science B.V.</rights><rights>2001 INIST-CNRS</rights><rights>Copyright Elsevier Science Ltd. Jan 2001</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c638t-dab12732206406fe424f2f21ee25455f0e8c885b2cedf95181edaa6b6f332cbd3</citedby><cites>FETCH-LOGICAL-c638t-dab12732206406fe424f2f21ee25455f0e8c885b2cedf95181edaa6b6f332cbd3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/S0140-9883(00)00071-2$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,780,784,3550,4008,4024,27866,27923,27924,27925,45995</link.rule.ids><backlink>$$Uhttp://pascal-francis.inist.fr/vibad/index.php?action=getRecordDetail&idt=1039646$$DView record in Pascal Francis$$Hfree_for_read</backlink><backlink>$$Uhttp://econpapers.repec.org/article/eeeeneeco/v_3a23_3ay_3a2001_3ai_3a1_3ap_3a1-15.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Woo, Chi-Keung</creatorcontrib><creatorcontrib>Horowitz, Ira</creatorcontrib><creatorcontrib>Hoang, Khoa</creatorcontrib><title>Cross hedging and forward-contract pricing of electricity</title><title>Energy economics</title><description>We consider the problem of an electric-power marketer offering a fixed-price forward contract to provide electricity that it purchases from a potentially volatile and unpredictable fledgling spot energy market. One option for the risk-averse marketer who wants to hedge against the spot-price volatility is to engage in cross hedging to reduce the contract's profit variance, and to determine the forward-contract price as a risk-adjusted price — the sum of a baseline price and a risk premium. We show how the marketer can estimate the spot-price relationship between two wholesale energy markets for the purpose of cross hedging, as well as the optimal hedge and the forward contract's baseline price and risk premium.</description><subject>Applied sciences</subject><subject>Contracts</subject><subject>Cross hedging</subject><subject>Economic data</subject><subject>Electric energy</subject><subject>Electric power</subject><subject>Electricity</subject><subject>Energy</subject><subject>Energy economics</subject><subject>Energy market</subject><subject>Exact sciences and technology</subject><subject>Forward exchange contracts</subject><subject>Forward-contract pricing</subject><subject>General, economic and professional studies</subject><subject>Hedging</subject><subject>Methodology. Modelling</subject><subject>Pricing</subject><subject>Risk premiums</subject><subject>Studies</subject><issn>0140-9883</issn><issn>1873-6181</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2001</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><sourceid>7TQ</sourceid><recordid>eNqFkV1LBCEUhiUK2j5-QjBERF1MHXV0nauIpS8IuqiuxXWOZcyOm84W--9zdiOimwR9FZ9zeH0l5IDCGQUqzx-BVlDWSvETgFMAGNOSbZARVWNeSqroJhn9INtkJ6W3DAkp1IjUkxhSKl6xefHdS2G6pnAhfprYlDZ0fTS2L-bR2-EyuAJbtP1w7Jd7ZMuZNuH-t-6S5-urp8ltef9wcze5vC-t5KovGzOlbMwZA1mBdFixyjHHKCITlRAOUFmlxJRZbFwtsltsjJFT6ThndtrwXXK87juP4X2Bqdcznyy2rekwLJLmqq4rxqoMHv4B38IidtmbZpQKxepaZUisITu8O6LT-XUzE5eagh7S1Ks09RCVBtCrNDXLdTfruohztD9FmEeHaIP-0NwwnpflsAGgWXyeg85XSoV-7We509G3TZOsaV00nfXplw1ey0pm7GKNYc72w2PUyXrscko-5j_QTfD_WP4C-L6gDA</recordid><startdate>2001</startdate><enddate>2001</enddate><creator>Woo, Chi-Keung</creator><creator>Horowitz, Ira</creator><creator>Hoang, Khoa</creator><general>Elsevier B.V</general><general>Elsevier Science</general><general>Elsevier</general><general>Elsevier Science Ltd</general><scope>IQODW</scope><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>7ST</scope><scope>7TA</scope><scope>7TQ</scope><scope>8BJ</scope><scope>8FD</scope><scope>C1K</scope><scope>DHY</scope><scope>DON</scope><scope>FQK</scope><scope>JBE</scope><scope>JG9</scope><scope>SOI</scope></search><sort><creationdate>2001</creationdate><title>Cross hedging and forward-contract pricing of electricity</title><author>Woo, Chi-Keung ; Horowitz, Ira ; Hoang, Khoa</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c638t-dab12732206406fe424f2f21ee25455f0e8c885b2cedf95181edaa6b6f332cbd3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2001</creationdate><topic>Applied sciences</topic><topic>Contracts</topic><topic>Cross hedging</topic><topic>Economic data</topic><topic>Electric energy</topic><topic>Electric power</topic><topic>Electricity</topic><topic>Energy</topic><topic>Energy economics</topic><topic>Energy market</topic><topic>Exact sciences and technology</topic><topic>Forward exchange contracts</topic><topic>Forward-contract pricing</topic><topic>General, economic and professional studies</topic><topic>Hedging</topic><topic>Methodology. Modelling</topic><topic>Pricing</topic><topic>Risk premiums</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Woo, Chi-Keung</creatorcontrib><creatorcontrib>Horowitz, Ira</creatorcontrib><creatorcontrib>Hoang, Khoa</creatorcontrib><collection>Pascal-Francis</collection><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>Environment Abstracts</collection><collection>Materials Business File</collection><collection>PAIS Index</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>Technology Research Database</collection><collection>Environmental Sciences and Pollution Management</collection><collection>PAIS International</collection><collection>PAIS International (Ovid)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><collection>Materials Research Database</collection><collection>Environment Abstracts</collection><jtitle>Energy economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Woo, Chi-Keung</au><au>Horowitz, Ira</au><au>Hoang, Khoa</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Cross hedging and forward-contract pricing of electricity</atitle><jtitle>Energy economics</jtitle><date>2001</date><risdate>2001</risdate><volume>23</volume><issue>1</issue><spage>1</spage><epage>15</epage><pages>1-15</pages><issn>0140-9883</issn><eissn>1873-6181</eissn><coden>EECODR</coden><abstract>We consider the problem of an electric-power marketer offering a fixed-price forward contract to provide electricity that it purchases from a potentially volatile and unpredictable fledgling spot energy market. One option for the risk-averse marketer who wants to hedge against the spot-price volatility is to engage in cross hedging to reduce the contract's profit variance, and to determine the forward-contract price as a risk-adjusted price — the sum of a baseline price and a risk premium. We show how the marketer can estimate the spot-price relationship between two wholesale energy markets for the purpose of cross hedging, as well as the optimal hedge and the forward contract's baseline price and risk premium.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/S0140-9883(00)00071-2</doi><tpages>15</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0140-9883 |
| ispartof | Energy economics, 2001, Vol.23 (1), p.1-15 |
| issn | 0140-9883 1873-6181 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38994224 |
| source | RePEc; PAIS Index; Access via ScienceDirect (Elsevier) |
| subjects | Applied sciences Contracts Cross hedging Economic data Electric energy Electric power Electricity Energy Energy economics Energy market Exact sciences and technology Forward exchange contracts Forward-contract pricing General, economic and professional studies Hedging Methodology. Modelling Pricing Risk premiums Studies |
| title | Cross hedging and forward-contract pricing of electricity |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-22T20%3A23%3A24IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Cross%20hedging%20and%20forward-contract%20pricing%20of%20electricity&rft.jtitle=Energy%20economics&rft.au=Woo,%20Chi-Keung&rft.date=2001&rft.volume=23&rft.issue=1&rft.spage=1&rft.epage=15&rft.pages=1-15&rft.issn=0140-9883&rft.eissn=1873-6181&rft.coden=EECODR&rft_id=info:doi/10.1016/S0140-9883(00)00071-2&rft_dat=%3Cproquest_cross%3E38994224%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=211582998&rft_id=info:pmid/&rft_els_id=S0140988300000712&rfr_iscdi=true |