| 结合期权理论的双边可选择电力远期合同模型 |
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| 引用本文： | 张少华,李渝曾,王长军,言茂松.结合期权理论的双边可选择电力远期合同模型[J].电力系统自动化,2001,25(21):28-32. |
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| 作者姓名： | 张少华 李渝曾 王长军 言茂松 |
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| 作者单位： | 上海大学自动化系, |
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| 基金项目： | 国家自然科学基金 (5 993715 0 )，上海市教委科技发展基金(99QD5 3) |
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| 摘 要： | 作为电力市场风险管理的一种有效手段，可选择电力远期合同交易以其灵活性和多样性具有良好的应用前景。提出了一种合同双方均有选择权的电力远期合同模型，根据期权定价思想给出了合同价格计算方法，并通过一个合同买卖双方各自追求最大期望报酬的均衡模型，给出了有关期权敲定价的均衡选择。分析表明，该可选择远期合同模型具有一些良好的特性，它克服了现有文献中合同模型的一些不足。
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| 关 键 词： | 电力市场 双边可选择远期合同 期权理论 均衡模型 |
| 收稿时间： | 1/1/1900 12:00:00 AM |
| 修稿时间： | 1/1/1900 12:00:00 AM |
COMBINING OPTION THEORY WITH MODELING FOR BILATERAL OPTIONAL ELECTRICITY FORWARD CONTRACTS |
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| Zhang Shaohua,L i Yuzeng,Wang Changjun,Yan Maosong Shanghai University,Shanghai ,China.COMBINING OPTION THEORY WITH MODELING FOR BILATERAL OPTIONAL ELECTRICITY FORWARD CONTRACTS[J].Automation of Electric Power Systems,2001,25(21):28-32. |
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| Authors: | Zhang Shaohua L i Yuzeng Wang Changjun Yan Maosong Shanghai University Shanghai China |
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| Affiliation: | Zhang Shaohua,L i Yuzeng,Wang Changjun,Yan Maosong Shanghai University,Shanghai2 0 0 0 72,China |
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| Abstract: | As an effective instrument for risk m anagem ent in electricity m arkets,optional forward contract holds broad prospects for its flexibility and variety in im plem entations.A bilateral optional electricity forward contract is introduced in this paper,which entitles both seller and buyer to curtail or reject the contracted energy when the spot price is high or low. The option pricing theory is used to formulate the contract price.The strike prices of options are derived from solving an equilibrium model in which both the buyer and seller are inclined to maxim ize his/ her own profit.Some distinguishing characteristics of this kind of optional forward contract can be concluded from comparisons with forwards presented in som e literatures. |
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| Keywords: | electricity m arkets bilateral optional forward contracts option theory equilibrium m odel |
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