Abstract
In this paper, we consider interaction between spot and forward trading under demand and cost uncertainties, deriving the equilibrium of the multi-player dynamic games. The stochastic programming and worst-case analysis models based on discrete scenarios are developed to analyze the impact of demand uncertainty and risk aversion on oligopoly (forward and spot) markets’ structure in terms of the forwards and spot pricing, traded quantities and production. A real case of the Iberian electricity market is studied to illustrate performance of the models. The numerical experiments show that cost uncertainty impacts on the strategic decisions more than demand uncertainty.
Sign-in/Register to access full text options 
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
