Electricity producers participating in electricity markets face risks pertaining to both selling prices and the availability of the production units. Among electricity derivatives, options represent an adequate instrument to manage these risks. In this paper, we propose a multi-stage stochastic...

An electric energy producer participates in futures markets in the hope of hedging the risk of trading in the pool. However, this producer is required to supply the energy associated with all its signed forward contracts even if some of its units are forced out due to unexpected failures. In...