It is widely accepted to use conditional value-at-risk for risk management needs and option pricing. As a rule, there are difficulties in exact calculations of value-at-risk. In the paper, we methodology price spread options, extending some approximation approaches these needs. Our results illustrate by numerical which demonstrate their effectiveness. We also show how pricing can help with regu...

This paper presents a self-scheduling framework, using risk-constrained optimization model for the home energy management system (HEMS), considering fixed, controllable, and interruptible loads, as new contribution to earlier studies. The objectives are reducing electricity bill managing risk of purchasing over on-peak hours prosumer's discomfort index (DI) due shifting load undesired hours. In...