| 基于期权理论的可中断负荷价格研究 |
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| 引用本文： | 刘贵生.基于期权理论的可中断负荷价格研究[J].华东电力,2007,35(9):6-8. |
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| 作者姓名： | 刘贵生 |
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| 作者单位： | 上海电力学院,上海,200090 |
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| 摘 要： | 采用期权理论对可中断负荷的价格进行研究.认为可中断负荷合同的实施能有效起到削峰的作用.采用欧式看涨期权的B-S定价公式对可中断负荷合同价格进行评估.进一步分析期权公式参数的取值,并采用美国的新英格兰电力市场实际数据,分单时段和多时段分析了有效期为半年的电力期权的价格.该研究将为电力公司中断用户负荷所要支付的费用提供理论依据.
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| 关 键 词： | 电力市场 可中断负荷 期权 电价 |
Study of interruptible load price by using option theory |
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| LIU Gui-sheng.Study of interruptible load price by using option theory[J].East China Electric Power,2007,35(9):6-8. |
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| Authors: | LIU Gui-sheng |
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| Abstract: | The option theory was used to study the interruptible load price which can help effectively cut the peak load.The Black-Schools formula in European Call Option was applied to assess the price of the interruptible load contract,and parameters of the formula are analyzed.Based on the research,actual data of the New England power market were used to analyze the half-year option price of single-period and multi-period respectively. |
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| Keywords: | electricity market interruptible load option electricity price |
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