水电厂电量不确定性风险的管理

水电厂商的电量由于受来水影响，具有不确定性，很难准确估计各时段的发电量，因此该文提出了一个水电厂电量风险管理方案。通过一个电力双边合同和两个复合电力期权将水电厂与电力公司结为风险同盟，共同分担水电厂电量不确定性风险。双方的合作不仅有效规避了水电厂的电量不确定性风险，而且该方案还有良好的社会效益。文中以无套利定价方法给定了复合看涨期权和复合看跌期权的定价公式，并通过蒙特卡罗法模拟随机的水文情况和市场出清电价以计算期权价格和合作的社会效益。算例以某实际水电厂为例，分析了水文波动性、合同电量和合同价格对复合期权价格以及社会效益的影响。

Electric Energy Uncertainty Risk Management of Hydropower Generators

Because of the hydrological uncertainty, it is difficult to estimate the energy generated by a hydropower plant in time period. A risk-management mechanism combined with one forward contract and two electricity options is proposed in this paper to manage the energy uncertainty. The hydropower plant allies with one electric power company to share in the hydro risk with this mechanism. It is proved that the cooperation of a hydropower plant and an electric power company can better manage the risk of the energy uncertainty. Furthermore this mechanism has favorable social benefit by utilizing the water resource fully. The Monte Carlo method is applied to simulate the market clearing price and the stream flow, and the option price is determined by no arbitrage pricing principle. A practical hydropower plant is selected in case study, and the influences of the hydrological variation, contract price and contract volume on the option price and social benefit are analyzed.