A method based on Empirical Martingale Simulation (EMS) is presented to evaluate investments in wind energy. Risk-neutral prices are calculated, where electricity market prices are modeled using an ARIMAGARCH method which shows conditional heteroskedasticity. The values of the put options are calculated a week ahead and it is observed that wind producers that invest in the options market can hedge against price risk and can also maximize their benefits. The use of Monte Carlo simulation with the EMS method in periods of high volatility is especially useful for investors facing price volatilities in order to improve their returns. The model is applied to the Colombian electricity market. (C) 2014 Elsevier Ltd. All rights reserved.