4种电力衍生产品定价方法分析

Analysis of the Pricing Methods for Four Typical Electricity Derivatives

随着电力市场的出现,电力衍生产品逐步成为电力交易的主要形式之一。由于电力不能大规模储存,作为现代金融工程理论核心的无套利定价原理对大多数电力衍生产品定价不再适用。文中采用Black-76公式和仿射跳跃-扩散电价模型研究了电力期货/远期、期货期权、单点期权以及摇摆期权等奇异期权的定价问题,提出了一种新的电力衍生产品风险中性概率框架,并根据德国EEX电力市场实际价格,利用解析及MonteCarlo方法给出了若干常见电力衍生产品的实际定价算例。计算表明,所提出的电力衍生产品定价方法具有完备的理论基础,能够解决各类常见电力衍生产品定价问题。

As the electricity market being deregulated, electricity derivatives gradually become a major form of electricity trade. Because electricity cannot be stored in large scale economically, the non-arbitrage principal as the core of the modern financial engineering is not valid for the pricing of electricity derivatives. The pricing of the electricity future, future option, single point option and some typical swing options is studied using the Black-76 formula and the affine jump-diffusion model and a new risk neutral framework for the pricing of electricity derivatives is proposed. Using analytical and Monte Carlo method, examples for some common electricity derivatives pricing are given based on the EEX market historical prices. The calculation results suggest that the pricing methods proposed in this paper have sound theoretical basis.