Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets
提出一个均衡模型，解释电力远期价格与未来现货价格的关系，发现预期需求低且需求风险适中时远期价格是向下偏的预测，但预期需求或需求方差高时溢价增加，夏季溢价最大。
ABSTRACT Spot power prices are volatile and since electricity cannot be economically stored, familiar arbitrage‐based methods are not applicable for pricing power derivative contracts. This paper presents an equilibrium model implying that the forward power price is a downward biased predictor of the future spot price if expected power demand is low and demand risk is moderate. However, the equilibrium forward premium increases when either expected demand or demand variance is high, because of positive skewness in the spot power price distribution. Preliminary empirical evidence indicates that the premium in forward power prices is greatest during the summer months.