Vis enkel innførsel

dc.contributor.authorBjerksund, Petter
dc.contributor.authorMyksvoll, Bjarte
dc.contributor.authorStensland, Gunnar
dc.date.accessioned2007-06-21T12:57:52Z
dc.date.available2007-06-21T12:57:52Z
dc.date.issued2006-11
dc.identifier.issn1500-4066
dc.identifier.urihttp://hdl.handle.net/11250/164109
dc.description.abstractA flexible load contract is a type of swing option where the holder has the right to receive a given quantity of electricity within a specified period, at a fixed maximum effect (delivery rate). The contract is flexible, in the sense that delivery (the take hours) is called one day in advance. We investigate two simple strategies for managing flexible load contracts, where both use price information from the forward market. For 10 contracts traded in the period 1997-2001, we calculate the performance of the two strategies and compare with the reported performance of one complex dynamic programming approach as well as the actual results obtained by three anonymous market participants. The comparison indicates that our simple computer-efficient strategies perform better on average and produces more stable results.en
dc.language.isoengen
dc.publisherNorwegian School of Economics and Business Administration. Department of Finance and Management Scienceen
dc.relation.ispartofseriesDiscussion paperen
dc.relation.ispartofseries2006:21en
dc.titleManaging Flexible Load Contracts: Two simple strategiesen
dc.typeWorking paperen
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210en


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel