6th International Conference on Probabilistic Methods Applied to Power Systems - PMAPS 2000, Funchal (Portugal). 25-28 September 2000
Summary:
This paper presents an alternative for the performing of risk management analysis when the variables of study cannot be considered as complying with the conditions of the Binomial and Black-Scholes models. The method used is based on the calculation of the discrete convolution. The objective is making possible the valuation of an energy export contract under conditions of uncertainty.
Keywords: Risk management, interconnection contracts, discrete convolution.
Publication date: 2000-09-25.
Citation:
J. Reneses, E. Centeno, A. Ramos, F.J. Pérez Thoden, Risk assessment in a contract of energy exchanging, 6th International Conference on Probabilistic Methods Applied to Power Systems - PMAPS 2000, Funchal (Portugal). 25-28 September 2000.
