摘要
针对水电厂受电力市场电价波动与来水量不确定性的影响,设计了简单的水电厂风险管理案例。将期货与期权的交易模式运用于电力市场中,水电商可以利用期货的套期保值功能规避风险,让购电商和投机商分担电价风险;水电商也可以通过购买看涨或看跌期权,保证水电厂合约外的剩余电量在期望价格销售,减少弃水。
This paper makes use of the futures and options in the electric power market. Aiming at the water power station affected by the fluctuation of the electricity price and hydrological uncertainty, it designed simple risk-management mechanisms of the water power station. The hydropower company can use the function of hedging to avoid risk and ally with the traders and the retails to share risk. Or they can ensure the over electricity could sell out at an anticipant price by buy and sell call option and put option.
出处
《水力发电》
北大核心
2007年第3期13-16,共4页
Water Power
基金
国家自然科学基金重点项目(50539140)
关键词
水电商
风险
期货
期权
套期保值
电力市场
hydropower company
risk
futures
options
hedge
electric power market
