| 可选择电力远期合约定价分析 |
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| 引用本文： | 袁智强,张俊敏,侯志俭.可选择电力远期合约定价分析[J].华东电力,2004,32(12):4-7. |
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| 作者姓名： | 袁智强 张俊敏 侯志俭 |
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| 作者单位： | 上海电力设计院有限公司,上海,200025;上海市电力公司,上海,201600;上海交通大学,电气工程系,上海,200030 |
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| 摘 要： | 电力工业的市场化运营给市场参与者带来了巨大的风险 ,作为回避风险重要工具的远期合约和期货合约目前得到了广泛关注。提出了一种考虑需求不确定因素的双边可选择电力远期合同模型 ,给出了合同价格的计算公式 ,计算了买卖双方期权的最优敲定电价。最后通过简单算例分析了现货电价与负荷的相关系数、负荷、电价的波动等因素对远期合约电价的影响。仿真结果表明 ,除电价波动外 ,负荷的波动对远期合约电价也有较大影响 ,与预期的结果相一致
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| 关 键 词： | 远期合约 风险 期权 敲定电价 |
| 文章编号： | 1001-9529(2004)12-0004-04 |
| 修稿时间： | 2004年8月31日 |
Analysis on pricing of optional electricity forward contracts |
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| YUAN Zhi-qiang,ZHANG Jun-min,HOU Zhi-jian.Analysis on pricing of optional electricity forward contracts[J].East China Electric Power,2004,32(12):4-7. |
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| Authors: | YUAN Zhi-qiang ZHANG Jun-min HOU Zhi-jian |
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| Affiliation: | YUAN Zhi-qiang~1,ZHANG Jun-min~2,HOU Zhi-jian~3 |
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| Abstract: | The deregulation of electric power industry has brought tremendous risk to market participants.As an important instrument for risk averse,forward contracts and future contracts,are gaining great attention in electricity market.In this paper,one kind of bilateral optional electricity forward contracts model for considering demand uncertainty was put forward.The calculation formula of price of forward contracts was given and the optimal strike price of options for seller and buyer were calculated.Finally,one simple example was employed to analyze the effects of correlation coefficient between spot price and demand,demand fluctuation and spot price fluctuation on forward price.The test results show that forward price will be greatly affected by demand fluctuation besides price fluctuation,which is coincident with the expected results. |
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| Keywords: | forward contracts risk options strike price |
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