| 规避发电商合同违约风险的新型期权 |
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| 引用本文： | 赵珊珊,张东霞,印永华,Jérome DEJAEGHER.规避发电商合同违约风险的新型期权[J].电力系统自动化,2011,35(2):34-37. |
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| 作者姓名： | 赵珊珊 张东霞 印永华 Jérome DEJAEGHER |
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| 作者单位： | 1. 中国电力科学研究院,北京市,100192
2. RTE,Paris 92919,法国 |
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| 摘 要： | 研究了市场条件下发电商合同违约风险的规避.由于损失函数中同时包含了缺额发电容量和实时市场电价,所以可以视之为工程和金融风险的叠加.设计了以小时电价模型为基础的新型期权,采用风险中性理论和蒙特卡洛仿真法对新型期权进行定价,对新型期权规避风险的效果进行了定量评估.采用法国巴黎电力交易所(PPX)2004年和2005年电价数...
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| 关 键 词： | 合同违约风险 风险规避 期权 实时电价 蒙特卡洛仿真 |
| 收稿时间： | 5/17/2010 3:45:01 PM |
| 修稿时间： | 1/10/2011 5:14:51 PM |
A New Option for Hedging Risks of Unfulfilling Contracts Facing Generation Companies |
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| ZHAO Shanshan
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ZHANG Dongxia
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YIN Yonghua
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Jérome DEJAEGHER.A New Option for Hedging Risks of Unfulfilling Contracts Facing Generation Companies[J].Automation of Electric Power Systems,2011,35(2):34-37. |
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| Authors: | ZHAO Shanshan ZHANG Dongxia YIN Yonghua Jérome DEJAEGHER |
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| Affiliation: | ZHAO Shanshan1,ZHANG Dongxia1,YIN Yonghua1,Jérome DAJAEGHER2(1.China Electric Power Research Institute,Beijing 100192,China,2.RTE,Paris 92919,France) |
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| Abstract: | Risk of unfulfilling contracts facing generation companies is studied.As the loss function consists of both shortage capacity and spot price,it can be considered as superposition of both engineering and financial risks.A new form of option based on hourly spot electricity price is proposed.The risk-neutral theory and Monte Carlo method are used for option pricing.The hedging effect of the new option is evaluated as well.Electricity price of PPX in 2004 and 2005 is used as study case.Simulation results show ... |
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| Keywords: | risk of unfulfilling contracts risk hedging option hourly spot price Monte Carlo method |
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