Pricing analysis of wind power derivatives for renewable energy risk management

The objective of this study is to analyse the theoretical pricing wind power derivatives, which important for renewable energy risk management but has a problem in due illiquidity assets and show application theory practical implementation pricing. We make three contributions literature. First, best our knowledge, we are first conduct detailed econometric analysis futures underlying, i.e., electricity production based on windmills, resulting strong support seasonality mean reversion logit-transformed load factors. Second, after proposing new model factors findings, prices call option contracts good-deal bounds within an illiquid market situation applied as well with illiquidity. Third, empirical shows that derived using seasonal modelling more accurately reflect reality than those without compared observations, importance derivatives In particular, considering upper lower price boundaries represent selling buying incomplete market, respectively, short position affected by long position. Finally, illustrate discuss applications results obtained study.