| 一种新的基于摆动期权合约的发电商风险回避模型研究 |
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| 引用本文： | 马歆,侯志俭,蒋传文.一种新的基于摆动期权合约的发电商风险回避模型研究[J].电力科学与技术学报,2004,19(4):47-50. |
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| 作者姓名： | 马歆 侯志俭 蒋传文 |
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| 作者单位： | 上海交通大学,电气工程系,上海,200030 |
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| 摘 要： | 电力工业正在进行打破垄断、鼓励竞争的市场化改革,在这个过程中,市场参与者将获得不少的机会,同时他们也将面临大量的风险,一个关键的问题是在电力市场中应有能力来管理这些新的风险.市场环境下,电力价格呈现出比传统条件下更为复杂的变化形式,发电商要同时面对燃料市场和电力市场中的市场风险,在燃料市场和电量市场之间构造出交叉商品组合,并在此基础上引入摆动期权合约,设计了发电商的风险回避模型.通过该模型发电商能够比较有效地回避市场风险.
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| 关 键 词： | 发电商 风险回避 摆动期权合约 Generators risk avertion swing options contract 摆动期权合约 发电商 风险回避 模型 研究 Contract Swing Based Incorporate Generators Model Risk Avertion avoid flexible easy spread model incorporate swing options |
| 文章编号： | 1006-7140(2004)04-0047-04 |
| 修稿时间： | 2004年5月20日 |
Study on a New Risk Avertion Model of Generators Incorporate Based on Swing Optiongs Contract |
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| MA Xin,HOU Zhi-jian,JIANG Chuan-wen.Study on a New Risk Avertion Model of Generators Incorporate Based on Swing Optiongs Contract[J].JOurnal of Electric Power Science And Technology,2004,19(4):47-50. |
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| Authors: | MA Xin HOU Zhi-jian JIANG Chuan-wen |
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| Abstract: | Market innovation is being executed in electricity industry in order to break monopoly and introduce competition. In this process, market participators will face more chances as well as market risks, the focus is their capacity of managing these risks. In deregulation markets, the variety of electricity price will more drastic and complex than those in regulation industry. Generators will face market risks in energy and electricity market at the same time. Cross-commodity spread is constructed between energy market and electricity market and risk-averting model is designed on incorporate swing options. This model is flexible and easy to be realized.Generators can avoid market risks using this model. |
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| Keywords: | Generators risk avertion swing options contract |
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