Energy Risk: Comparing power plant delta hedging strategies

Energy Risk 2011

KYOS publication on power plant delta hedging strategies

Power plant delta hedging strategies

Summary: A comparison of common delta-hedging strategies and calculations finds that simple formulas used to calculate delta hedges can lead to severe biases. This article presents a relatively fast, but more accurate calculation approach. It is based on a combination of Monte Carlo price simulations and dispatch optimization, using dynamic programming.  

Power plant valuation software

This publication applies the methodologies as implemented in KyPlant software. Use KyPlant for pricing, risk managing and optimizing power plants. For more information about KyPlant or power plant hedging, click here.

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