基于断电期权的供电公司购电价格风险管理方法

供电公司从实时电力市场购电时会面临很大的购电价格风险。为了规避这种风险，基于期权理论，提出了断电期权的概念，并建立了相应的数学模型。给出了供电公司购买断电期权最优数量的解析解，并证明了相比不购买断电期权，供电公司可以通过购买该期权获得更高的利润期望。最后通过数例说明了结论的应用。

Method of Managing Power Supplier's Price Risk of Purchasing Electricity Based on Interruptible Options

Power suppliers that purchase electricity from spot markets have to face enormous price risks.To mitigate the risks,this paper presents a concept of interruptible options and corresponding mathematic model based on the option theory.The model can calculate the optimal quantity of interruptible options that a power supplier should reserve.It is also proved that a power supplier can achieve higher profit expectation with the options than not.The conclusions are demonstrated by numerical examples.