一种新的基于摆动期权合约的发电商风险回避模型研究(英文)

Study on a New Risk Avertion Model of Generators Incorporate Based on Swing Optiongs Contract

电力工业正在进行打破垄断、鼓励竞争的市场化改革,在这个过程中,市场参与者将获得不少的机会,同时他们也将面临大量的风险,一个关键的问题是在电力市场中应有能力来管理这些新的风险.市场环境下,电力价格呈现出比传统条件下更为复杂的变化形式,发电商要同时面对燃料市场和电力市场中的市场风险,在燃料市场和电量市场之间构造出交叉商品组合,并在此基础上引入摆动期权合约,设计了发电商的风险回避模型.通过该模型发电商能够比较有效地回避市场风险.

Market innovation is being executed in electricity industry in order to break monopoly and introduce competition. In this process, market participators will face more chances as well as market risks, the focus is their capacity of managing these risks. In deregulation markets, the variety of electricity price will more drastic and complex than those in regulation industry. Generators will face market risks in energy and electricity market at the same time. Cross-commodity spread is constructed between energy market and electricity market and risk-averting model is designed on incorporate swing options. This model is flexible and easy to be realized. Generators can avoid market risks using this model.