Estrategia de cobertura con productos derivados para el mercado energético colombiano

Translated title of the contribution: Hedging strategy with products for the Colombian energy market

Jhon Alexis Díaz Contreras, Gloría Inés Macías Villalba, Edgar Luna González

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

The development of the Colombian wholesale energy market has currently allowed it to trade electricity futures in local capital markets. This work aims to design a derivative, which has the price of electricity as the underlying. For this, we analyzed the time series of electricity price volatility modeling, and from this, an exotic barrier-type option was designed that shows how to use this type of financial products to cover risks from market agents.

Translated title of the contributionHedging strategy with products for the Colombian energy market
Original languageSpanish
Pages (from-to)55-64
Number of pages10
JournalEstudios Gerenciales
Volume30
Issue number130
DOIs
StatePublished - 2014

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