search query: @indexterm ELECTRICITY INDUSTRY / total: 214
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| Author: | Bessembinder, H. Lemmon, M.L. |
| Title: | Equilibrium pricing and optimal hedging in electricity forward markets |
| Journal: | Journal of Finance
2002 : JUN, VOL. 57:3, p. 1347-1382 |
| Index terms: | ELECTRICITY INDUSTRY EQUILIBRIUM ANALYSIS HEDGING PRICING |
| Language: | eng |
| 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. |
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