{"id":270,"date":"2022-02-27T17:29:22","date_gmt":"2022-02-27T17:29:22","guid":{"rendered":"https:\/\/dev.dtrees.com\/?page_id=270"},"modified":"2022-03-07T09:26:24","modified_gmt":"2022-03-07T09:26:24","slug":"delta-hedging","status":"publish","type":"page","link":"https:\/\/dtrees.com\/en\/delta-hedging\/","title":{"rendered":"Delta-Hedging"},"content":{"rendered":"
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Delta-Hedging<\/h2>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t
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Delta-Hedging of thermal power plants<\/h3>\t\t\t\t<\/div>\n\t\t\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/div>\n\t\t\t\t\t<\/div>\n\t\t<\/section>\n\t\t\t\t
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The market offering of thermal power generation to the forward market is becoming more and more difficult due to the decline of forward prices. In the past, when peak products were traded it was assumed that the thermal power plants would most likely remain open in peak hours. Due to today\u2019s uncertainties in dark\/spark spreads, however, standstills in peak hours has to be considered.<\/p>

The optimal hold positions in each forward product with regard to uncertainties in generation spreads is the delta position. The delta position is based on stochastic optimization and is determined with a sufficiently high number of correlated and cointegrated scenarios of electricity, fuel and CO2 prices:<\/p>