基于实物期权和博弈理论的电源投资动态模型

首先建立了市场环境下的电价计算模型及投资商的收益计算模型,并在此基础上构建了基于实物期权理论的电源投资动态模型,该模型考虑了投资项目未来收益的不确定性以及投资决定的不可逆性对最佳投资时机的影响;然后将博弈理论引入模型中以考虑投资商之间的相互竞争对投资决策的影响;最后以我国南方区域电力市场为背景,构建了发电容量投资算例,实证研究了投资者面对市场不确定性和竞争时的动态决策过程.仿真结果说明该模型起到了规避投资风险,获得投资机会的作用.

A Dynamic Modeling of Investments in Power Generation Based on Real Option Theory and Game Theory

Firstly, the pricing model and revenue model under power market environment are preseneted in this paper. And based on these models and real option theory, a dynamic model of investments in power generation is established taking into account the effect of revenue related uncertainties and irreversible investment decision on the optimal timing of investment. Then game theoretic concepts are incorporated into the model with the focus on the effect of strategic interaction between investors on investment decision. Lastly, taking South China regional power market as background, a case of investment in power generation capacity is peovided to illustrate how to make decision in proper time under uncertainty and strategic interaction. The results show the validity of the model and effectiveness of the algorithm.