基于无套利原则下的水电厂的风险管理  

Risk Management of Hydropower Plants Based on the No-arbitrage Principle

作　　者：王访[1] 周晓阳[2] 夏正香[2] 

机构地区：[1]湖南农业大学理学院,长沙410128 [2]华中科技大学数学系,武汉430074

出　　处：《中国农村水利水电》2008年第10期116-121,共6页China Rural Water and Hydropower

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

摘　　要：在现行电力市场中,水电厂的风险主要来自于发电量不确定性的风险。水电厂为了规避发电量不确定带来的风险,提出了通过一个电力双边合同和若干电力期权将水电厂与电力公司结为风险同盟,共同分担水电厂电量不确定性风险。并在实时电价预测期望值与真实值发生偏差时,构建了一个基于无套利原则下的水电厂与电网公司的补偿机制,兼顾了双方的公平。以某实际水电厂为例,利用蒙特卡洛模拟计算得到期权费与相应补偿金,分析了合同电量和合同价格对期权价格及补偿金的影响。In current electricity markets, the risk of hydropower plants comes mainly from the electric energy uncertainty risk. To avoid the risk caused by electric energy uncertainties, a mechanism combined with one forward contract and some electricity options is put forward in this paper. Hydropower plants should ally with electric power companies to share the risk of undeterminate hydropower. Based on the no-arbitrage principle, a compensation mechanism is constructed to take bilateral interests into account when the deviation between real-time expectant values and real values takes place. A practical hydropower plant is selected in our case study, and the influences of the contract price and the contract volume on the option price are analyzed.

关 键 词：电力市场 风险管理 补偿机制 耦合期权 蒙特卡洛模拟 

分 类 号：TM711[电气工程—电力系统及自动化] TV211.14[水利工程—水文学及水资源]