White paper: How to effectively hedge the value of a power station

Operators of power stations try to maximize the income from their assets. Power plant valuation models aim to predict the total value that can be made in a future time period. With delta hedging, this value can partly be locked.

Energy Risk: Comparing power plant delta hedging strategies

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.