摘要
由电力远期合约等场外交易品与电力期货合约和电力期权合约等场内交易品所组成的电力金融衍生产品市场为市场参与者利用金融衍生工具回避电力市场中的价格风险和备用容量风险等短期市场行为提供了有效的场所。通过金融工程理论中期权交易的特点,将期权交易概念引入电力市场中应用,并尝试利用金融工程中广泛使用的Black-Scholes模型,进行扩展,作为电力期权的定价公式。
The electricity financial derivative product market, consisting of outside-market instruments such as the forward contract and the inside-market instruments such as the future contract and the option contract, provides an ideal place for market participants to conduct short-period market behaviors such as using the financial derivative instru- ments to avoid price risks and reserve risks. The concept of option transaction was applied to the electricity market, and the Black-Scholes model which is widely used in financial engineering projects was extended to obtain the pricing formula for electricity options.
出处
《华东电力》
北大核心
2008年第5期20-23,共4页
East China Electric Power
关键词
金融工程
电力市场
期权交易
定价模型
financial engineering project
electricity market
option transaction
pricing model
