How would you hedge if you had issued a call option on electricity??

Discussion in 'Options' started by Gubo, Jul 13, 2012.

  1. Gubo

    Gubo

    Hello,

    I was wondering today when i was looking at eex, how could one hedge if you had issued an american call option on electricity if we assume that the prices move as geometrical brownian motion and that the volatility is not constant and we allow jumps?


    Cheers
     
    #1     Jul 13, 2012
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  2. hoop121

    hoop121

    sell power, buy gas

    buy gas, sell power

    it's called heat rates
     
    #2     Jul 14, 2012
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