摘要
在电力市场中,电量价格、备用价格和燃料价格比管制情况下存在着更大的不确定性。本文在前一部分所建立的发电商运行资产价值的实物期权模型的基础上,给出了模型的求解方法,通过实例研究了一定时间段内机组的技术约束条件对发电商运行资产价值的影响,然后引入了VaR风险价值的概念,定量地对短时期内发电商运行资产价值进行了风险评估,提出了一个在市场环境下评估发电商运行资产价值的新的方法与思路。
In electricity market, electricity price, reserve price and fuel price are more uncertain than those in the regulated conditions. On the basis of the real options model of operating capital value of generator for spinning reserve that is constructed at previous part, the solution of model is given. The effect on the operating capital value of generator that affected by technology limits of units is studied through examples. VaR concept is introduced to assess a quantitative short-term risk of the generator operating capital value, which is a new idea and method to evaluate the operating capital value of generator in electricity market.
出处
《继电器》
CSCD
北大核心
2004年第24期1-5,24,共6页
Relay
基金
国家自然科学基金资助项目(50079006)
关键词
运行资产
实物期权
风险评估
operating capital value
real options
risk assessment