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实物期权方法及其在电力系统中的应用
引用本文:吉兴全,文福拴.实物期权方法及其在电力系统中的应用[J].电力系统自动化,2005,29(22):6-13.
作者姓名:吉兴全  文福拴
作者单位:1. 山东科技大学信息与电气工程学院,山东省,青岛市,266510
2. 华南理工大学电力学院,广东省,广州市,510640
基金项目:国家重点基础研究发展计划(973计划),教育部新世纪优秀人才支持计划,中国博士后科学基金
摘    要:很多国家和地区正在对电力工业进行放松管制和市场化改革,这将给电力系统的投资决策带来更多不确定性因素.传统的投资方案评估大多采用净现值(NPV)法,难以计及项目的管理灵活性;实物期权方法(ROA)较好地解决了这一问题,并已开始应用于研究电力投资决策方面的问题.首先简要介绍了实物期权的一些概念,然后对现有的实物期权定价的几种主要方法进行了总结,最后对ROA在电力系统中应用的研究现状做了简要综述,指出几个有待进一步研究的问题.

关 键 词:发电投资  实物期权  电力市场
收稿时间:2005-05-07
修稿时间:2005-05-072005-07-06

Real Options Approach and Its Applications in Power Systems
JI Xing-quan,WEN Fu-shuan.Real Options Approach and Its Applications in Power Systems[J].Automation of Electric Power Systems,2005,29(22):6-13.
Authors:JI Xing-quan  WEN Fu-shuan
Affiliation:1. Shandong University of Science and Technology, Qingdao 266510, China; 2. South China University of Technology, Guangzhou 510640, China
Abstract:The power industry in many countries around the globe is now on the way of deregulation and restructuring so as to introduce competition and build a competitive market for power supply, and this will introduce more uncertainties in investment decision-making The traditional net present value (NPV) method has been most widely used for evaluating investment opportunities in many areas. However, the NPV method cannot take the managerial flexibility of investment decision-making into account. Recently, the real options approach (ROA) has attracted quite a lot of attention as a powerful approach for addressing this problem, and it has already been applied in power system investment decision-making. The fundamental concept of ROA is described first. Then, currently available real options pricing methods arc briefly surveyed. Finally, the applications of ROA in power systems are reviewed, and some interesting topics which require further research efforts are clarified.
Keywords:generation investment  real options  electricity market
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