基于摆动期权合约的发电商风险回避模型研究  

Study of generators risk-avoiding model based on swing options contract

作　　者：马歆[1] 蒋传文[1] 侯志俭[1] 汪德兴[2] 施炜伟[2] 高伏英[2] 黄琳[2] 

机构地区：[1]上海交通大学电气工程系,上海200240 [2]华东电网有限公司,上海200002

出　　处：《继电器》2004年第19期1-4,共4页Relay

基　　金：国家自然科学基金资助项目(50079006)

摘　　要：电力工业正在进行打破垄断、鼓励竞争的市场化改革,在这个过程中,市场参与者将获得不少的机会,同时他们也将面临巨大的风险,一个关键的问题是市场参与者如何来管理这些新的风险。市场环境下的电力价格呈现出比管制条件下更为复杂的变化形式,发电商要同时面对燃料市场和电力市场中的市场风险。该文首先在燃料市场和电量市场之间构造出交叉商品组合,在此基础上引入摆动期权合约设计了发电商的风险回避模型。该模型形式简单,易于实现,通过该模型发电商能够比较有效地回避市场风险。Market innovation is being executed in electricity industry in order to destroy the monopoly structure and introduce competition. In this process, market participators will face more chances as well as market risks, the focus is to own capacity of managing these risks. In deregulated markets, the variety of electricity price will be more drastic and complex than these ones in regulated industry. Generators will face market risks in energy market and electricity market at the same time. Cross-commodity unit is constructed between energy market and electricity market, based on which risk-avoiding model is designed incorporating swing options. This model is flexible and easy to realize. Generators can effectively avoid market risks with this model.

关 键 词：发电商 风险回避 期权合约 燃料市场 市场参与者 市场风险 商品组合 摆动 鼓励 形式 

分 类 号：F407.6[经济管理—产业经济]