Energy companies with commitments to meet customers' daily electricity demands face the problem of hedging load and … hedging decisions, while also intuitively capturing the key features of the electricity market. Driven by three stochastic … forwards and some options, products often used for hedging purposes. Making use of these results, we illustrate in a simple …

In this paper, we derive optimal hedging strategies for options in electricity futures markets. Optimality is measured … in terms of minimal variance and the associated minimal variance hedging portfolios are obtained by a stochastic maximum …