摘要
可中断电力合同是一种结合电力期权的风险管理工具,可有效地管理可中断负荷。可中断电力合同所结合的电力期权为新型复合电力期权而不是普通的期权,由于新型电力期权的复杂性导致不能求解期权价格的解析解,因此该文提出通过数值方法:蒙特卡罗法近似求解该复合电力期权的价格,并提出了该期权在无套利条件下的定价公式。该文通过电价的历史数据分析提出了电价的混合模型,以描述电价行为特性。算例对美国New England电力市场某月的复合电力期权进行定价,结果表明该期权价格与实际市场中的该期权价值间的误差小于5％,说明该文所提方法是有效的。该文提出的期权定价方法也适用于其它类型的电力期权,有推广价值和应用前景。
The interruptible electricity contract with option is a valid risk-management tool, and the contract can be used to ranage interruptible load in power market. The option coupled with the interruptible electricity contract is an exotic electricity options, the stroct analytic solution of the exotic electricity (?) impossible because of its complexity. Therefere we appry a Mence Canle sirnulation to pricing the exotic option approxunatel and the pricing formula is brought forward under no-arbitrage condition. The hybrid stochastic model for electricity spot price is developed through analyzing the inherent characteristics of historical price data. Numerical examples employ the data of New England power market to value the exotic option. The results show that the error of the approximate one is less than 5%, this indicates the method proposed is valid. Furthermore, the method can be used to price other electricity options.
出处
《中国电机工程学报》
EI
CSCD
北大核心
2004年第12期18-23,共6页
Proceedings of the CSEE
基金
国家自然科学基金重点资助项目(59937150)。~~
