| 具有双边选择权的电力远期合同建模与分析 |
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| 引用本文： | 钟德成,张少华,黄杰波,余志伟,钟志勇. 具有双边选择权的电力远期合同建模与分析[J]. 电力系统自动化, 2003, 27(21): 11-16 |
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| 作者姓名： | 钟德成 张少华 黄杰波 余志伟 钟志勇 |
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| 作者单位： | 1. 香港理工大学电机工程系,香港
2. 上海大学自动化系,上海市,200072 |
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| 摘 要： | 提出并分析了一种具有双边选择权的电力市场远期合同模型。这种新的远期合同使得合同双方可利皂孽电和用电的灵活性来获取经济收益，同时可回避市场价格的波动风险。发展和分析了该类远期合同的定价理论模型，并表明了其特点。所给算例表明该合同模型的有效性。
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| 关 键 词： | 远期合同 电力市场 风险管理 选择权 定价模型 |
| 收稿时间： | 1900-01-01 |
| 修稿时间： | 1900-01-01 |
MODELING AND ANALYSIS OF FORWARD CONTRACT WITH BILATERAL OPTIONS IN ELECTRICITY MARKET |
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| Abstract. MODELING AND ANALYSIS OF FORWARD CONTRACT WITH BILATERAL OPTIONS IN ELECTRICITY MARKET[J]. Automation of Electric Power Systems, 2003, 27(21): 11-16 |
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| Authors: | Abstract |
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| Abstract: | This paper presents the modeling and analysis of a new forward contract with bilateral options in electricity market. This new contract enables both the seller and the buyer to take advantage of flexibility in generation and consumption to obtain a monetary benefit while simultaneously removing the risk of market price fluctuations. Theoretical model for pricing this type of forward contract is developed and analyzed. Some distinguishing features are revealed. Numerical examples are used to demonstrate the validity of the proposed model. |
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| Keywords: | forward contracts electricity market risk management option pricing model |
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