基于断电期权的供电公司购电价格风险管理方法  

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

作　　者：盛方正[1] 季建华[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海市200052

出　　处：《电力系统自动化》2007年第18期30-33,共4页Automation of Electric Power Systems

摘　　要：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。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.

关 键 词：电力市场 电力零售市场 供电公司 断电期权 优化 

分 类 号：F407.61[经济管理—产业经济]