电力范围差价合约的定价分析

The Pricing Analysis for Electricity Forward Contracts

电力工业的市场化运营给市场参与者带来了前所未有的风险,作为回避易变价格风险重要工具的远期合约和期货合约目前得到了广泛的关注.本文基于文[1]提出了一种金融外汇市场上常见的范围差价合约作为电力市场买卖双方签订电力合约的模型,利用各自"理性"行为给出合约电价的上下限,并且理论研究发现这种范围差价合约的期望收益被控制在一个范围内.该合约不仅降低了买电方在高现货电价时的风险,而且也降低了卖电方在低现货电价时的风险,同时保留了各自的收益机会,也提高了交易的成功率.最后通过算例分析了现货电价波动对买卖双方收益影响,得出了一些很有意义的结论.

The market-directed operation of the electric power industy has brought both the buyer and seller tremendous risk,and this phenomenon gives broad attention to the forward contract and futures contract,which have played an important role to avert the unconstant price risk.Based on the reference paper[1],we put forward range forward contracts of different,which is common in the finance and foreign exchange market,to serve as the contract model in the electric power market.The rational action respectively help us to get the upper and lower limit in the contract price,and some related theory research also shows that the expected profits of this range forward contracts of different are successfully controlled in a limited range.This contract not only reduce the risk of the high spot price faced by the buyers, but also reduce the risk of the low spot price confronted by the seller.It ensures the winning opportunity to both of the two participants and enhances the success rate of the bargain at the same time.Investigating a real market example and related data,finally,we have analyzed some effects to the profits of both buyers and sellers,caused by the fluctuation of spot price,and got several interesting conclusion.