基于强势买电期权的大供电商风险管理模型.pdf

第 38 卷 第 3 期 电力系统保护与控制 Vol.38 No.3 2010 年2 月 1 日 Power System Protection and Control Feb.1, 2010 基于强势买电期权的大供电商风险管理模型 1 1 2 王 访 ，邹锐标 ，周晓阳 （1.湖南农业大学东方科技学院，湖南 长沙 410128；2.华中科技大学数学系, 湖北 武汉 430074） 摘要：为有效规避市场风险，基于期权思想为供电商建立了一个风险管理模型.供电商以约定的价格与发电商签订一个包含 若干买方期权的合同。先利用无套利原理计算得到合同敲定价格，再以供电商期望收益最大化建模，得到其应购买的买方期 权最优数量的解析解。理论研究和算例分析的结果表明这种合同模型比普通单边差价合同更具实用性；并说明供电商通过该 模型能规避风险的同时增加收益。 关键词：电力市场; 强势买电期权; 风险管理; 最优决策 Large power supplier risk management model based on power call options 1 1 2 WANG Fang ，ZOU Rui-biao , ZHOU Xiao-yang （1. Orient Science and Technology College, HunanAgriculture University, Changsha 410128, China; 2. Department of Mathematics, Huazhong University of Science and Technology, Wuhan 430074, China ） Abstract ：In order to avoid the market risks effectively, this paper presents a risk management model for power supplier based on option theory. The power supplier signs the contract containning a number of call options with the generator at a fixed price. The contract’s strike price is calculated on the basis of no arbitrage principle，and the optimal quantity of call options that the power supplier should purchase is calculated by modeling the maximum expected revenue. The theoretical studies and the result of numerical analysis show that the contract containing call options is of more practicality than general unilateral forward contract and the power supplier can avoid risks as well as get more benefit through the model. This work is supported by National Natural Scien