摘要
为有效规避市场风险,基于期权思想为供电商建立了一个风险管理模型.供电商以约定的价格与发电商签订一个包含若干买方期权的合同。先利用无套利原理计算得到合同敲定价格,再以供电商期望收益最大化建模,得到其应购买的买方期权最优数量的解析解。理论研究和算例分析的结果表明这种合同模型比普通单边差价合同更具实用性;并说明供电商通过该模型能规避风险的同时增加收益。
In order to avoid the market risks effectively, this paper presents a risk management model for power supplier based on option theory. The power supplier signs the contract containning a number of call options with the generator at a fixed price. The contract＇s strike price is calculated on the basis of no arbitrage principle, and the optimal quantity of call options that the power supplier should purchase is calculated by modeling the maximum expected revenue. The theoretical studies and the result of numerical analysis show that the contract containing call options is of more practicality than general unilateral forward contract and the power supplier can avoid risks as well as get more benefit through the model.
出处
《电力系统保护与控制》
EI
CSCD
北大核心
2010年第3期72-76,共5页
Power System Protection and Control
基金
国家自然科学基金资助(60773195)
湖南省教育厅资助(09C510)
湖南农业大学青年基金资助(08QN12)~~
关键词
电力市场
强势买电期权
风险管理
最优决策
power market
power call options
risk management
optimal decision-making
