摘要
电力市场中,发电商要面对燃料市场和电量市场的双重价格风险,必须寻求有效手段进行风险管理。该文首先详细论述了期权及其套期保值功能,然后构建了考虑煤电价格联动的交易模型,并在此基础上引入了基于跨式期权组合的风险管理策略。理论分析和算例表明:该文提出的交易策略是有效、可行的。
In electricity market, as facing double price risks of fuel market and electricity consumption market, generators must seek effective means to manage risks. Option and its hedging function are particularly discussed in this paper. Trade model considering linked prices of coal and electricity is set up and risk management strategy based on straddle options contract is introduced. Theoretical analysis and calculation instance indicate that trade strategy is effective and feasible.
出处
《继电器》
CSCD
北大核心
2006年第1期50-54,共5页
Relay
