考虑期权合约的电力市场古诺-纳什均衡分析

期权是发电商进行策略性竞价和规避市场风险的重要金融工具，目前的研究主要集中在期权的风险规避功能，关于期权对发电商竞价策略的影响研究甚少。该文建立了考虑电力期权的两阶段古诺博弈模型，给出了市场均衡的解析解，结果表明期权的存在增强了电力市场的竞争，在一定程度上抑制了发电商的市场力滥用，为保持较高的现货电价和稳定的收益，发电商有兴趣维持现货电价的高波动性。

Analysis of Cournot-Nash Equilibrium for Electricity Markets Considering Options Contracts

Option is an important financial instrument for generators developing strategic bidding and evading market risk. At present, investigation on options mainly focuses on its risk aversion behavior, yet there are a few literatures to investigate its effect on generators' strategic bidding. A two-stage Cournot equilibrium model considering power options contracts is developed and analytical formulas for market equilibrium are presented in this paper. The results show that the existence of options accelerates market competition and mitigates market power abuse of generators, and that in order to retain higher spot price and stable payoff, generators are interested in holding high volatility of spot price.