RISK MANAGEMENT OF WIND POWER PRODUCER'S BIDDING DEVIATION IN DAY-AHEAD ELECTRICITY MARKET BASED ON OPTION CONTRACT

Zhang Zhiyuan; Zhang Shaohua; Wang Xian; Wu Biao

doi:10.19912/j.0254-0096.tynxb.2022-1069

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Acta Energiae Solaris Sinica ›› 2023, Vol. 44 ›› Issue (11) : 255-262. DOI: 10.19912/j.0254-0096.tynxb.2022-1069

RISK MANAGEMENT OF WIND POWER PRODUCER'S BIDDING DEVIATION IN DAY-AHEAD ELECTRICITY MARKET BASED ON OPTION CONTRACT

Zhang Zhiyuan, Zhang Shaohua, Wang Xian, Wu Biao

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Abstract

Due to the uncertainties in wind power and the balancing market prices, WPPs will face great risk when bidding in the day-ahead market. Therefore, a call-option-based method is proposed to control the balancing market price risk and reduce WPPs' risk in the day-ahead market bidding. To investigate the impacts of the call option contract on a WPP's day-ahead market bidding behaviors, a stochastic Cournot equilibrium model of the day-ahead wholesale electricity market is developed, taking considerations of the WPP's call option contract. In this model, a scenario reduction technique is employed to describe the uncertainties in wind power and the balancing market prices. Numerical examples are presented to verify the reasonableness and effectiveness of the proposed model. It is shown that the call option contract can help to reduce the WPP's profit fluctuation and its bid deviations in the day-ahead market. In addition, the WPP can maximize its utility by choosing an appropriate call option contract volume.

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wind power / power markets / risk management / option contract / game theory

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Zhang Zhiyuan, Zhang Shaohua, Wang Xian, Wu Biao. RISK MANAGEMENT OF WIND POWER PRODUCER'S BIDDING DEVIATION IN DAY-AHEAD ELECTRICITY MARKET BASED ON OPTION CONTRACT[J]. Acta Energiae Solaris Sinica. 2023, 44(11): 255-262 https://doi.org/10.19912/j.0254-0096.tynxb.2022-1069

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