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具有双边选择权的电力远期合同建模与分析(英文) 被引量:1

MODELING AND ANALYSIS OF FORWARD CONTRACT WITH BILATERAL OPTIONS IN ELECTRICITY MARKET
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摘要 提出并分析了一种具有双边选择权的电力市场远期合同模型。这种新的远期合同使得合同双方可利用供电和用电的灵活性来获取经济收益 ,同时可回避市场价格的波动风险。发展和分析了该类远期合同的定价理论模型 ,并表明了其特点。 This paper presents the modeling and analysis of a new forward contract with bilateral options in electricity market. This new contract enables both the seller and the buyer to take advantage of flexibility in generation and consumption to obtain a monetary benefit while simultaneously removing the risk of market price fluctuations. Theoretical model for pricing this type of forward contract is developed and analyzed. Some distinguishing features are revealed. Numerical examples are used to demonstrate the validity of the proposed model.
出处 《电力系统自动化》 EI CSCD 北大核心 2003年第21期11-16,共6页 Automation of Electric Power Systems
关键词 远期合同 电力市场 风险管理 选择权 定价模型 Electric power systems Electricity Marketing Mathematical models Risk management
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