Distribution companies have to take the risk stemming from the price fluctuation of a wholesale market instead of the customers. This entails the necessity to develop a certain method to make an optimal strategy for electricity procurement under this particular uncertainty. This research has the purpose for proposing the mathematical method based on dynamic programming with stochastic differential equations, to evaluate the value of a long-term bilateral contract of electricity trade, and also the value of a project of combination of the bilateral contract, power generation with their own generators.