基于奇异期权的供电公司风险规避策略  

Risk Avoiding Strategy for Power Supplier Based on Exotic 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200052

出　　处：《现代电力》2008年第1期88-92,共5页Modern Electric Power

摘　　要：供电公司在电力市场交易时会面临很大的风险。为了规避这种风险,引入了奇异购电期权这一风险管理工具。奇异购电期权相比标准期权能为供电公司提供更为灵活有效的决策方法。建立了相应的数学模型,给出了供电公司购买奇异期权最优数量的解析解以及执行期权的策略和方法。通过计算和仿真,数例证明了结论的正确并且说明了利用奇异期权,供电公司可以大幅度地提高利润期望值。Power supplier in the power market has to face enormous risk. The concept of exotic options is suggested to avoid this risk. Compared with standard options, exotic options can afford more efficient means to deal with risks. The corresponding mathematic model is established, and the analytical solution of optimal quantity of the exotic options is given that the power supplier should purchase. The execution strategy and method are discussed that the power supplier should follow. Through calculation and simulation, the numerical example proves the correctness of the conclusion. It is shown that with exotic options, the power supplier can considerably improve the profit expectation.

关 键 词：电力市场 电力零售市场 供电公司 奇异期权 优化 

分 类 号：TM73[电气工程—电力系统及自动化]