规避发电商合同违约风险的新型期权  

A New Option for Hedging Risks of Unfulfilling Contracts Facing Generation Companies

作　　者：赵珊珊[1] 张东霞[1] 印永华[1] Jérome DEJAEGHER 

机构地区：[1]中国电力科学研究院,北京市100192

出　　处：《电力系统自动化》2011年第2期34-37,共4页Automation of Electric Power Systems

基　　金：国家科技支撑计划资助项目(2008BAA13B00);国家电网公司科技项目(SGKJ[2007]291)~~

摘　　要：研究了市场条件下发电商合同违约风险的规避。由于损失函数中同时包含了缺额发电容量和实时市场电价,所以可以视之为工程和金融风险的叠加。设计了以小时电价模型为基础的新型期权,采用风险中性理论和蒙特卡洛仿真法对新型期权进行定价,对新型期权规避风险的效果进行了定量评估。采用法国巴黎电力交易所(PPX)2004年和2005年电价数据进行仿真,结果表明,该新型期权能够有效规避发电商合同违约风险。Risk of unfulfilling contracts facing generation companies is studied.As the loss function consists of both shortage capacity and spot price,it can be considered as superposition of both engineering and financial risks.A new form of option based on hourly spot electricity price is proposed.The risk-neutral theory and Monte Carlo method are used for option pricing.The hedging effect of the new option is evaluated as well.Electricity price of PPX in 2004 and 2005 is used as study case.Simulation results show that the new option can help generation companies achieve the goal of hedging risk of unfulfilling contracts.

关 键 词：合同违约风险 风险规避 期权 实时电价 蒙特卡洛仿真 

分 类 号：F224[经济管理—国民经济] F426.61