Mathematical Methods of Operations Research

, Volume 69, Issue 3, pp 579–592 | Cite as

Stochastic models for bidding strategies on oligopoly electricity market

  • Magdalena Borgosz-Koczwara
  • Aleksander Weron
  • Agnieszka Wyłomańska
Original Article


In this paper we consider the forward/futures contracts and Asian-type call options for power delivery as important components of the bidding strategies of the players’ profits on the electricity market. We show how these derivatives can affect their profit. We use linear asymmetric supply function equilibrium (SFE) and Cournot models to develop firms’ optimal bidding strategies by including forward/futures contracts and Asian-type options. We extend the methodology proposed by Niu et al. (IEEE Trans Power Syst 20(4):1859–1867, 2005), where only forward contracts for power delivery were considered in the SFE model.


Power market Bidding strategy Supply function equilibrium model Cournot model Forward/futures contract Asian-type call option 


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Copyright information

© Springer-Verlag 2008

Authors and Affiliations

  • Magdalena Borgosz-Koczwara
    • 1
  • Aleksander Weron
    • 2
  • Agnieszka Wyłomańska
    • 2
  1. 1.Institute of Industrial Engineering and ManagementWroclaw University of TechnologyWroclawPoland
  2. 2.Hugo Steinhaus Center, Institute of Mathematics and Computer ScienceWroclaw University of TechnologyWroclawPoland

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