电力奇异期权及其估值研究  

Electric power exotic option and its evaluation

作　　者：李江[1] 施泉生[1] 

机构地区：[1]上海电力学院电力金融研究中心,上海200090

出　　处：《华东电力》2008年第6期31-33,共3页East China Electric Power

基　　金：上海市教委重点课题研究项目(06ZS70);上海市教育电力企业管理重点学科资助项目(J51302)

摘　　要：电力衍生品市场是电力市场发展的必然产物,根据奇异期权中的路径依赖型期权的思想,设计出电力奇异期权;并具体运用二叉树模型对电力美式回望看跌期权为例进行估值;得出这种期权可以在一定程度上避免标的资产的价格无限制的上涨与下跌,防止过多投机行为的出现,维护电力市场秩序。The electric power derivative market is an inevitable product of electricity market development. Based on the path dependence theory of exotic option, the electric power exotic option was designed, and the binary tree model was used to evaluate the American lookback put option of electric power. It is pointed out that this option can be used to avoid unlimited raising and falling of target asset prices to some extent and maintain the orderliness of the electricity market by preventing excessive speculations.

关 键 词：二叉树模型 电力期权 奇异期权 电力市场 

分 类 号：TM-9[电气工程] F407.61[经济管理—产业经济]