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

Abstract : 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.
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https://hal.archives-ouvertes.fr/hal-02077740
Contributor : Emmanuel Gobet <>
Submitted on : Saturday, March 23, 2019 - 6:39:53 PM
Last modification on : Wednesday, September 23, 2020 - 4:30:33 AM
Long-term archiving on: : Monday, June 24, 2019 - 12:36:03 PM

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  • HAL Id : hal-02077740, version 1

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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⟩

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