金融期权和物理期权对电力市场均衡影响的比较研究

Comparison between impacts of financial and physical options on electricity market equilibrium

基于非合作博弈理论,建立了期权与现货市场的2阶段古诺博弈模型。第1阶段发电商在对现货市场竞争结果预期的基础上决策其要出售的金融或物理期权电量,第2阶段在获知竞争对手期权头寸的基础上选择使其期望收益最大化的现货市场发电量。利用反向推导方法对模型进行了求解,比较了金融和物理期权对电力市场均衡及发电商竞价策略的不同影响,分析了发电成本、期权敲定价格和现货电价波动幅度对发电商金融和物理期权交易策略的不同影响。结果表明:金融和物理期权均可在一定程度上增强电力市场竞争、抑制发电商的市场力滥用,金融期权对电力市场的作用更强,电力监管机构应鼓励或强制发电商进入金融期权市场。

Based on non-cooperative game theory, a two-period Cournot equilibrium model for options and spot markets is developed. In period one, generators sign financial or physical option contracts by anticipating the spot market outcome. In period two, according to their financial or physical option positions, generators compete with each other by selecting the generating capacities in the spot market to maximize the expected revenues. The model is solved by the back induction method. Different impacts of the physical and financial options on the electricity market equilibrium and generatorls bidding strategy are compared, and different impacts of the generating cost, strike price and spot price fluctuation on generator＇s option trading strategy are analyzed. The results show that, the existence of physical and financial options increases the market competition and mitigates the market power abuse of generators to some extent. As the financial option has more impact on electricity market than the physical option, generators should be encouraged or forced to be involved in the financial option.