基于猜测变量的期权与现货市场均衡分析  

Analysis of Equilibrium in Option and Spot Markets Based on Conjectural Variables

作　　者：王瑞庆[1,2] 李渝曾[2] 张少华[2] 

机构地区：[1]安阳师范学院计算机系,安阳455000 [2]上海大学自动化系,上海200072

出　　处：《电力系统及其自动化学报》2008年第5期24-28,共5页Proceedings of the CSU-EPSA

基　　金：国家自然科学基金项目(50377023);上海教委科技发展基金项目(05AZ28)

摘　　要：针对当前国内外电力市场实际运营的要求,研究发电商在期权与现货市场的联合竞争问题,分析期权对电力市场均衡和发电商竞争策略的影响。基于非合作博弈论,建立了一个考虑发电商猜测变量的两市场联合均衡模型,该模型所描述的均衡问题是一个具有均衡约束的均衡问题,可用后向推导方法求解。结果表明,发电商能自愿参与期权交易,影响竞争对手的策略行为是激励发电商销售期权的有效机制,期权在一定程度上抑制了发电商的市场力滥用、提高了电力市场效率。仿真算例表明了模型及方法的合理性和有效性。Facing the practical requirements of electricity markets currently implemented around the world, the generators＇ competition in option and spot markets is addressed, and the impact of options on the equilibrium of electricity markets and the generators＇ strategic behaviors is analyzed. Based on noncooperative game theory, a joint equilibrium model is presented taking conjectural variables （CV） of generators into account. This model can be formulated as an equilibrium problem with equilibrium constraints （EPEC） and be solved by backward induction method. The results show that strategic generators will voluntarily participate in options contracting, and the impact on their rivals＇ strategic behaviors is an effective mechanism for producers to commit option contracts. The existence of options is able to mitigate the abuse of generators＇ market power and promote the efficiency of electricity market to some extent. The simulation examples are presented to validate the reasonableness and effectiveness of the proposed model and solution method.

关 键 词：电力市场 电力期权 线性供应函数 纳什均衡 猜测变量 

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]