摘要
作为电力市场风险管理的一种有效手段 ,可选择电力远期合同交易以其灵活性和多样性具有良好的应用前景。提出了一种合同双方均有选择权的电力远期合同模型 ,根据期权定价思想给出了合同价格计算方法 ,并通过一个合同买卖双方各自追求最大期望报酬的均衡模型 ,给出了有关期权敲定价的均衡选择。分析表明 ,该可选择远期合同模型具有一些良好的特性 。
As an effective instrument for risk management in electricity markets, optional forward contract holds broad prospects for its flexibility and variety in implementations. A bilateral optional electricity forward contract is introduced in this paper, which entitles both seller and buyer to curtail or reject the contracted energy when the spot price is high or low. The option pricing theory is used to formulate the contract price. The strike prices of options are derived from solving an equilibrium model in which both the buyer and seller are inclined to maximize his/her own profit. Some distinguishing characteristics of this kind of optional forward contract can be concluded from comparisons with forwards presented in some literatures.
出处
《电力系统自动化》
EI
CSCD
北大核心
2001年第21期28-32,共5页
Automation of Electric Power Systems
基金
国家自然科学基金 (5 993715 0 )
上海市教委科技发展基金(99QD5 3)
