基于实物期权的电力交换均衡定价模型  

Equilibrium Price Mondel of Power Exchange Based on Real Options

作　　者：王访[1] 魏龙生[2] 

机构地区：[1]湖南农业大学理学院,湖南长沙410128 [2]华中科技大学图像识别与人工智能研究所,湖北武汉430074

出　　处：《水电能源科学》2008年第5期199-201,共3页Water Resources and Power

基　　金：国家自然科学基金资助项目(70271069);湖南省财政厅;教育厅基金资助项目(06C417)

摘　　要：考虑投资方通过投资一个水电厂与电网公司签订电力交换合同,利用实物期权法对资产进行合理定价。基于项目受益双方的利益最大化建立电力交换合同收益的均衡模型,并得到了合同电价的均衡方程。算例仿真和理论研究表明,该合同既保障电网公司免受电力需求不足或供应不足带来的损失,又兼顾了双方收益公平,具有现实意义。The investor signs power exchange contract with the power grid firm for investing a hydropower project, and a reasonable price of asset can be evaluated by use of real options approach. This paper puts forward a model of income equilibrium between the two power exchange sides, and gains an equilibrium equation based on the maximum benefit of two sides. The contract can make the power grid firm avoid peak period of insufficient demand and inadequate supply of the power loss, and it also can lead to fair balance between the two sides. Some helpful results which match with reality are acquired from the theoretical studies and numerical emulational analysis.

关 键 词：电力市场 实物期权 电力交换 讨价还价 K—S均衡 

分 类 号：TM73[电气工程—电力系统及自动化] F123.9[经济管理—世界经济]