基于期权合同的风电商日前市场投标偏差风险管理  

RISK MANAGEMENT OF WIND POWER PRODUCER’S BIDDING DEVIATION IN DAY-AHEAD ELECTRICITY MARKET BASED ON OPTION CONTRACT

作　　者：张致远 张少华[1] 王晛[1] 吴彪 Zhang Zhiyuan;Zhang Shaohua;Wang Xian;Wu Biao(School of Mechatronic Engineering and Automation,Shanghai University,Shanghai 200444,China)

机构地区：[1]上海大学机电工程与自动化学院,上海200444

出　　处：《太阳能学报》2023年第11期255-262,共8页Acta Energiae Solaris Sinica

基　　金：国家自然科学基金(61773252)。

摘　　要：由于风电出力和平衡市场价格的不确定性,风电商在日前市场投标时将面临较大的风险。为此,提出风电商通过看涨期权以控制平衡市场价格风险,从而减小日前市场投标风险的方法。为了研究风电商的期权合同对其日前市场投标行为的影响,建立一个考虑风电商看涨期权合同的日前市场随机均衡模型,其中采用场景削减技术计入风速和平衡市场价格的不确定性。算例分析验证了模型的合理性和有效性,并表明看涨期权合同可降低风电商参与日前市场竞争时收益的波动,减小风电商的投标偏差,且风电商通过合适的看涨期权合同交易可达到效用最大化。Due to the uncertainties in wind power and the balancing market prices,WPPs will face great risk when bidding in the dayahead market.Therefore,a call-option-based method is proposed to control the balancing market price risk and reduce WPPs’risk in the day-ahead market bidding.To investigate the impacts of the call option contract on a WPP’s day-ahead market bidding behaviors,a stochastic Cournot equilibrium model of the day-ahead wholesale electricity market is developed,taking considerations of the WPP’s call option contract.In this model,a scenario reduction technique is employed to describe the uncertainties in wind power and the balancing market prices.Numerical examples are presented to verify the reasonableness and effectiveness of the proposed model.It is shown that the call option contract can help to reduce the WPP’s profit fluctuation and its bid deviations in the day-ahead market.In addition,the WPP can maximize its utility by choosing an appropriate call option contract volume.

关 键 词：风电 电力市场 风险管理 期权合同 博弈论 

分 类 号：TM721[电气工程—电力系统及自动化]