摘要
激烈竞争的电力市场需要有效的风险管理工具来回避易变的价格风险。结合金融期权交易思想的电力远期合同 (或称可选择远期合同 )因其灵活性和多样性而将发挥重要作用。提出一种合同双方均有选择权的双边可选择电力远期合同模型 ,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。比较分析表明 ,这种双边可选择远期合同模型具有良好的特性。
A bilateral optional electricity forward contract model is introduced, in which the seller holds a right to curtail the contracted energy when the spot price is high, while the buyer has a choice to reject the contracted energy when the spot price is low. The option pricing theory is employed 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 are concluded from comparisons with forwards presented in some literatures.
出处
《控制与决策》
EI
CSCD
北大核心
2002年第6期890-893,897,共5页
Control and Decision
基金
国家自然科学基金项目 (5 0 10 70 0 6 )
上海市教委科技发展基金项目 (99QD5 3)
