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1.
考虑用户需求不确定性的电力期货合同模型   总被引:5,自引:0,他引:5  
提出一种考虑用户需求不确定性的可选择期货合同模型,并从用户角度给出了确定相应各种合同参数的方法,算例分析表明了该方法的合理性。该方法适用于用户的合同定价决策  相似文献   

2.
张少华  李渝曾 《控制与决策》1999,14(11):536-540
提出一种考虑用户需求不确定性的可选择期货合同模型,并从用户角度给出了确定相应各种合同参数的方法,算例分析表明了该方法的合理性。该方法适用于用户的合同定价决策。  相似文献   

3.
赵琛  张少华 《控制与决策》2017,32(4):751-754
在电力市场环境下,发电商需要在现货市场、双边合同和期权等交易选择中合理分配交易电量.针对现货市场电价的严重不确定性,采用信息间隙决策理论,提出风险回避发电商在多种交易选择中的电量分配鲁棒决策模型.算例仿真验证了模型方法的合理性和有效性,并表明,所提出方法提供了发电商不同预期收益目标下的电量分配策略可抵抗的现货价格波动幅度,风险回避发电商可由此评价不同的电量分配策略,并采用相应的策略来保证预期收益目标.  相似文献   

4.
随着电力体制改革的深化发展,中国输配分开和趸售市场的建立是一种必然趋势,供电公司电价的确定对电力市场的健康运行影响重大,意义深远。作为垄断性企业,在政府行政部门的管制下,如何确定供电公司的成本并进行定价,是目前供电电价研究的难点。作者对供电公司所面临的各种约束进行了分析,并提出了一种综合考虑各种约束下的供电电价模型。该模型可以应用于实时电价、分时电价、现货市场交易电价和远期合约电价中的任何一种,并给出了具体的说明。最后给出了算例分析,说明了该模型的有效性。  相似文献   

5.
电力市场环境下,供电商在日前现货、远期合同、期权、可中断负荷等多个市场购电时面临着收益与风险的权衡。引入条件风险价值(CVaR)作为市场风险的度量因子,建立了以最小化损失为目标的供电商多市场购电决策模型,分析了期权和可中断负荷对购电组合的影响。算例结果表明期权和可中断负荷能有效地降低供电商的购电损失,期权价格和可中断负荷补偿价格对购电组合策略有显著的影响。  相似文献   

6.
提出了一种考虑价值漏损的研发项目期权定价决策模型。针对研发项目投资决策中隐含的扩张期权,以及期权中以现金流或便利收益存在的价值漏损,在传统的二叉树定价模型的基础上,给出了龟含价值漏损的单期、两期和三期二叉树期权定价方法,建立了考虑价值漏损的研发项目期权定价模型。通过算例将两种结果进行了比较分析,结果表明考虑价值漏损的实物期权定价能更准确、有效地估算研发项目的价值。  相似文献   

7.
计算速度对于期权交易者至关重要,关系到如何有效地制定价格并评估相应的风险,而云并行计算提供的随收随付制(Pay-as-You-Go)可以实现低成本运行。在微软云平台Windows Azure的基础上,开发了基于云并行计算的期权定价试点云软件AzureOP,该软件以较低的费用提供了低风险和高速度,并给出了AzureOP对于美式期权价格的模拟结果,绘制了对应的期权价格定价曲线和定价曲面。最后,对云并行计算在金融应用上的优势和不足进行了总结和讨论,同时举例说明了试点云软件AzureOP的具体细节。  相似文献   

8.
基于双边市场理论,考虑产能分享双边市场具有网络外部性特性,同时考虑产能需求方对加工交期和价格敏感,研究垄断型制造业产能分享平台的定价策略.首先,建立平台和双边用户的两阶段决策模型;然后,通过计算求解探索了注册费和交易费收费模式下的平台均衡利润,并分析了交叉网络外部性等外生变量对各方决策和平台利润的影响.研究发现:注册费模式下的平台均衡利润大于固定交易费模式下的平台均衡利润;两种定价模式下的平台利润与双边用户的网络外部性均正相关,与产能需求方的交期预期偏差均负相关,与产能需求方的产能价格预期均正相关;产能需求方的交期敏感度在实际交期早于或晚于预期交期时对平台利润有不同影响,产能需求方的产能价格敏感度在产能实际价格低于或高于预期价格时对平台利润也有不同影响.  相似文献   

9.
基于区块链技术的分布式能源管理日益精细的情况下,微电网建设正在快速推进。针对微电网中可再生能源类型复杂、分布范围分散、发电不稳定、电力定价困难的问题,提出基于区块链技术的微电网市场框架,并设计双边竞价策略满足微电网的需求。实验结果表明,研究中使用到的双边竞价策略满足微电网的家庭区域和社区区域的双边竞价。并且对比微电网社区区域和家庭区域的双边竞价结果,本研究较好地减少了电力价格并提高了市场电力的可利用率。  相似文献   

10.
该文以北京西奥中心写字楼为例,分析“以租待售”型房地产营销工具具有的分期付款期权特性,运用Δ-对冲技巧和Ito引理,构造了美式分期付款地产期权的微分方程定价模型,并确定了定价模型中各个变量的内涵,包括标的资产价格、波动率、期限和执行价等。针对北京西奥中心写字楼的具体市场数据,应用有限差分策略进行数值计算,得到了相应的期权价值。  相似文献   

11.
电子商务作为一种全新的商务运作模式,信任与信用问题一直都是其的核心问题.在传统的商务贸易中,买卖双方的信义由纸质合同来约束,但是在虚拟的电子商务交易中,这种方式显然是不可行的。因此就需要一套合理的信任与信用评价机制来给卖家的信用进行量化,方便买家的选择。由于现有的信任模型都过于简单,无法完整反应信任主体的信任风险,因此以淘宝网为例,本文提出在电子商务中把商品的价格因素也作为计算因子参与到信任与信用的量化中,并证明了这个问题是多项式时间可解的。  相似文献   

12.
B2B在线市场运作、协调与优化问题研究进展   总被引:7,自引:1,他引:7  
分析了在线市场的传媒背景、信息透明度和传媒多样性问题,并分析了在线市场的协调策略和供应链合同策略问题.作为B2B在线市场的主流模式,重点分析了以采购商为中心的B2B在线市场,特别是其中的供应链协调,如回购退货协调、远期和现货合同协调问题.进一步分析了以供应商和第三方为中心的B2B在线市场的运作、协调与优化问题.最后,提出了B2B在线市场运作比例和规模、双边际化和牛鞭效应、供应链合同、资金财务策略和信息共享环境下的协调等若干需深入探讨的问题.  相似文献   

13.
In this paper, an agent-based system for bilateral contracts of energy is proposed. The generating companies submit their offers to the demand companies. The demand companies also submit their bids to the generators. Each load or generator’s agent wants to match with an opponent, which offers the most valuable proposal. However, the problem of simultaneous decision-making causes decision conflicts among the agents. To overcome this conflict, we assume loads as the leaders and generators as the followers. We use Stackelberg game to match the seller and buyer agents. The negotiation process between a buyer and its potential seller will determine the power price between them. This process is carried out through a proposed combined time-behavioral protocol (TBP). With negligible changes in around the agreed price, this protocol can reduce the negotiation time considerably. After successful negotiation, the seller and buyer agents could sign a bilateral contract of energy if the market conditions allow it. The applicability of the proposed method is illustrated through a case study.  相似文献   

14.
In this paper, the issue of supply chain coordination (SCC) in a buyer–seller supply chain (SC) with an order size constraint is investigated. The buyer keeps safety stock to cope with lead time demand uncertainties from customers’ side. Unsatisfied demand will be lost. Therefore the whole SC sales volume depends on the service level provided by the buyer. By proposing a time-based temporary price discount in each replenishment cycle, the seller intends to convince the buyer to optimize its safety stock globally. Maximum and minimum discounts, which are acceptable for both parties, are determined and an appropriate discount schedule is derived. A set of numerical experiments are conducted to show performance of the proposed model. The results show that the safety stock coordination is profitable; the proposed model is capable of coordinating supply chain. In addition, the model can share extra benefits between SC members fairly.  相似文献   

15.
For the binomial model of the derivative securities market, consideration was given to calculation of prices and optimal instants of execution for the American instruments in the model with possible default (repudiation of a contract) by the contract holder. The results were obtained for the buyer and seller options with discount.  相似文献   

16.
经典拍卖理论无法理解网络拍卖中的一口价拍卖,已有文献从风险态度和交易成本的角度给出了解释,但却难以解释"一口价"设定比例的横截面差异。利用网站大样本数据,本文对已有理论进行了检验,证实了风险态度和交易成本的作用。然而控制这些因素之后,卖家信用水平仍然对一口价的设定和执行具有显著的影响,一口价对于买家估价和出价的参考作用同样显著,而且效果与卖家的信用水平正相关,从而验证了一口价的信息与信誉机制。  相似文献   

17.
Supply contracts are known as the communication link among supply chain members. As sourcing of required goods is a challenging issue for supply chain members, different sourcing types for different market conditions have been presented in the literature. However, the uncertain price condition has not been much focused in the previous studies, and in the limited works on this issue the correlation between the periods has been ignored. In this paper, sourcing policies are analyzed in a multi-period system in which price and demand follow a Geometric Brownian Motion with drift. Wholesale contract, option contract, and purchase from the spot market are considered as the sourcing alternatives for the buyer. This paper applies the stochastic programming approach to model these three types of sourcing based upon price and demand uncertainties. Afterwards, a hybrid supply model of these sourcing types is developed. By a numerical example, the simulation results of the developed models reveal that each individual sourcing alternative can be selected as the best one in each price and demand behavior. The results also suggest that the proposed hybrid model dominates each of the individual sourcing types. Finally, the paper reports the effects of cost parameter alterations on the solution of the hybrid model through sensitivity analysis.  相似文献   

18.
一种零售电子市场中的商品交易自动协商模型   总被引:1,自引:0,他引:1  
陈璐  邱玉辉 《计算机科学》2005,32(12):94-97
本文提出了一个针对零售电子市场中商品交易协商的双边多议题自动协商模型。基于实质利益协商法的原则,综合采用带优先级的模糊约束满足问题(PFCSP)和多属性效用理论(MAUT)的思想对协商进行建模,给出了买卖双方Agent的形式化模型,对协商双方的行为和策略进行了算法描述,并对协商可能获得的结果进行了分析。  相似文献   

19.
We study the optimal pricing strategy for profit maximization in presence of network externalities where a decision to buy a product depends on the price offered to the buyer and also on the set of her friends who have already bought that product. We model the network influences by a weighted graph where the utility of each buyer is the sum of her initial value on the product, and the linearly additive influence from her friends. We assume that the buyers arrive online and the seller should offer a price to each buyer when she enters the market. We also take into account the manufacturing cost. In this paper, we first assume that the monopolist defines a unique price for the product and commits to it for all buyers. In this case, we present an FPTAS algorithm that approximates the optimal price with a high probability. We also prove that finding the optimum price is NP-hard. Second, we consider a market with positive network externalities and assume that the monopolist could offer a private price to each customer. We prove that this problem is also hard to approximate for linear influences. On the positive side, we present a polynomial time algorithm for the problem when influences are symmetric. At last, we show that the seller has more ability to extract influences with price discrimination.  相似文献   

20.
一种抗欺诈的C2C卖方信誉计算模型研究   总被引:1,自引:0,他引:1  
针对C2C信誉模型中小额商品信誉炒作、信誉共谋、信誉诋毁等问题,引入交易价格、反馈可信度、共谋因子等参数,提出一种买方视角下抗欺诈的卖方成员信誉计算模型(C2CRep)。实验中通过收集网络交易数据,定义可疑欺诈的基本特征对数据进行抽取,并设定信誉计算误差(RCE)指标检验由欺诈行为带来的信誉值在社区信誉所占比例来检验模型的应用效果。结果表明,C2CRep在3类不同比例的欺诈行为中,RCE明显低于SPORAS与淘宝信誉模型,且RCE值在3类实验中都低于15%,抗欺诈性强。  相似文献   

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