基于期权博弈的可再生能源投资定价策略

Renewable energy investment strategy and pricing strategy based on option game

在电力需求随机波动下,如何通过市场和政策引导可再生电力投资和市场消纳,避免保供缺口与弃风弃光成为可再生能源优化发展的重要研究方向.构建无限连续时间的Stackelberg动态博弈模型,研究发电商对可再生能源的最优投资策略和电网企业的最优定价策略,提出政府对可再生电力限价区间的优化设置.研究表明,若发电商等待投资,可再生电力收购价格增加促使其更早投资而非更多投资,电力需求波动增大使得发电商延长等待时间而非缩小投资规模.若发电商立即投资,更高的电力价格、更低的边际成本和更小的需求波动都将激励其增大投资规模.相对于短视策略和传统策略,期权投资策略为发电商带来更高价值.电网企业的最优定价取决于可再生电力价值以及政府限价,在可再生电力初始需求和期望增长率双重差异下其最优定价策略是稳健的.

Given the randomfluctuation in renewable power demand,guiding renewable power investment and market consumption through market mechanisms and policies to avoid supply gaps and the abandoning of wind and light has become an important research direction for the optimal development of renewable energy.An infinite continuous-time Stackelberg dynamic game model is constructed to study the optimal investment strategy for renewable energy generators and the optimal pricing strategy of grid enterprises.The optimal setting of the government’s price range for renewable electricity is also proposed.The study shows that if generators delay investment,an increase in the price of renewable power leads them to invest earlier rather than more,while an increase in electricity demand volatility causes them to wait longer rather than reduce the scale of investment.If immediate investment is the optimal choice,a higher purchase price,lower marginal costs,and smaller demandfluctuations will motivate generators to invest more.Compared with the myopic strategy and the traditional strategy,the option investment strategy brings higher value to the generator.The optimal pricing of grid enterprises depends on the value of renewable electricity and the government’s price range,and this optimal pricing strategy is robust under the double difference of initial demand and the expected growth rate of renewable electricity.