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电力范围远期合同的定价分析及仿真研究 被引量:5

Electricity Pricing Analysis and Simulation Study on Electricity Long-tern Contracts
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摘要 为规避市场风险,电力远期合同受到了广泛关注。借鉴金融外汇市场上常见的范围远期合同,提出一种新的电力双边范围远期合同,以期减少买卖电双方的交易风险、稳定市场。与普通差价合同相比,范围远期合同更具实用性,为交易双方提供了一个电价估计的区间,即把价格从一点扩展为一个范围,并得到了此区间上下限独立的方程,证明了方程解的存在性。通过算例仿真和理论研究,范围远期合同更具避风险能力,更能提高远期合同市场的运作效率。 For hedging the market risk,the electricity longterm contracts are subjected to the extensive concern and research.Drawing lessons from range long-term contracts in foreign exchange financial market,this paper puts long-term a new two-way electricity long-term contracts,to decrease the bargain risk of the both parties in electricity contracts and stablize the market.The model is more practical than general long-term contracts for differences,a zone of electricity price estimation is provided for two bargainers,that is to say,the price expands for a scope from a point.And each equation of top and bottom limit for the zone is founded,the existence of the solution also is proved.They can be solved by Newton iterative method.The same total expectation utility of society with general long-term contract for differences from the theoretical studies and numerical emulational analysis is explained.But this range long-term contracts has the more ability of hedging the risk.and it can also improve the efficiency of the operation in the electricity long-term contractual markets.
出处 《水电能源科学》 2006年第5期33-36,共4页 Water Resources and Power
基金 国家自然科学基金资助项目(70271069)
关键词 电力市场 范围远期合同 期权理论 定价 electricity market range long-term contracts option theory pricing
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