考虑期权合同交易的电力市场均衡分析

Equilibrium Analysis of Electricity Markets with Option Contracts

在电力现货市场古诺(Cournot)竞争模式下,研究了具有一定金融看涨期权交易量的多个发电商在电力现货市场竞争的均衡问题.根据现货市场价格与期权敲定价格之间的不同关系,给出均衡解的一种求取方法.并通过一个考虑需求不确定性并采用Monte Carlo模拟的算例,分析看涨期权交易对于电力市场总体的影响.研究表明,看涨期权合同交易不仅具有在现货价格较高时与固定远期合同类似的缓解发电商市场力滥用行为的功能,而且与固定远期合同交易相比,在现货价格较低时可以利用其权利执行的灵活性,更能降低发电商利润,增加购电方(用户)收益.

Under the assumption of Coumot competition in the electricity spot market, the equilibrium problem is addressed for spot market competition of generators with a certain amount of sales of financial call options. A solution to the equilibrium problem is developed according to relationships between the spot price and the strike price of the call options. A numerical example based on Monte Carlo simulation, in which demand uncertainty is taken into account, is presented to show the impacts of call option trading on the market as a whole. It is demonstrated that the call option can play similar roles to the forward contract to mitigate generators＇ market power abuses when the spot prices are relatively high. In addition, when the spot prices are relatively low, the call option is more helpful to reduce generators＇ profits and increase consumers＇ benefit due to its flexibility as compared to the forward contract.