A power plant valuation under an asymmetric risk criterion taking into account maintenance costs

Clémence Alasseur (1, 2) , Emmanuel Gobet (3) , Isaque Pimentel (3, 2) , Xavier Warin (2)

1 FiME Lab - Laboratoire de Finance des Marchés d'Energie
2 EDF R&D - EDF R&D
3 CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique

Power producers are interested in valuing their power plant production. By trading into forward contracts, we propose to reduce the contingency of the associated income considering the fixed costs and using an asymmetric risk criterion. In an asymptotic framework, we provide an optimal hedging strategy through a solution of a nonlinear partial differential equation. As a numerical experiment, we analyze the impact of the fixed costs structure on the hedging policy and the value of the assets.

Mots clés: Hedging; asymmetric risk; fully nonlinear PDE; cost management; power plant

Domaines: Probabilités [math.PR]; Applications [stat.AP]; Gestion des risques [q-fin.RM]

Clémence Alasseur, Emmanuel Gobet, Isaque Pimentel, Xavier Warin. A power plant valuation under an asymmetric risk criterion taking into account maintenance costs. 2019. ⟨hal-02077740⟩