Abstract
Virtual Power Plant Contracts (VPP) are energy-structured products built up to replicate the payoff of a real power plant asset. These kinds of structured products are mainly used to hedge the risk exposure of a complex energy portfolio made up of different (for technology, location and efficiency) power generation assets in a more effective way compared with those reachable through standard products like forwards or plain vanilla options.
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References
Y. Zhuang and D. Gardner. Valuation of power generation assets: A real options approach. Algo Research Quarterly, 3: 9–21, 01/2000.
C. Tseng and G. Barz. Short-term generation asset valuation: a real options approach. Operations Research, 50: 297–310, 2002.
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© 2016 Enrico Edoli, Stefano Fiorenzani and Tiziano Vargiolu
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Edoli, E., Fiorenzani, S., Vargiolu, T. (2016). Virtual Power Plant Contracts. In: Optimization Methods for Gas and Power Markets. Applied Quantitative Finance series. Palgrave Macmillan, London. https://doi.org/10.1057/9781137412973_5
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DOI: https://doi.org/10.1057/9781137412973_5
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-56815-4
Online ISBN: 978-1-137-41297-3
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