| Title |
Optimal Hedge Strategy Using Future Contract in the Vesting Contract Electricity Market |
| Keywords |
Future contract ; vesting contract ; optimal hedge ratio ; hedging ; market risk |
| Abstract |
In TWBP new uncertainty will be increased. Risk management is risen to a important problem. Vesting contract makes market Players trade at fixed price in TWBP early stages. In the case of advanced country, market players manage risk with a future contract. When a risk management method moves from vesting contract to future contract, it may have to use together two contracts for schedule period. In this paper, risk management strategy that use vesting contract and forward contract at the same time is proposed. |