市场环境下计及CO2排放政策变化的发电投资期权博弈方法

摘要: 全球气温变暖已成为很多国家尤其是发达国家所关注的重要问题. 国际上, 已经有一些气候变化政策和协议, 旨在对CO2等温室气体的排放进行限制. 由于具体的限制措施仍然处于发展与进化之中, 这导致未来CO2排放成本具有高度不确定性. 火力发电作为CO2排放最主要的行业之一, 任何限制CO2排放的政策和措施都会对其运营效益进而投资决策产生影响. 此外, 在电力市场环境下, 火电厂在运营过程中还将面对其它一些不确定性因素, 如燃料价格、市场电价以及其它发电公司的投资行为等. 这样, 在发电投资决策时, 如何适当计及这些不确定性因素的影响就成为需要研究的重要问题. 根据各种不确定性因素的变化特征, 建立了相应的数学模型, 并利用期权博弈理论, 构造了发电投资决策新的方法框架. 在假定发电投资依次进行的基础上, 发展了基于Barraquand-Martineau (B-M)期权定价模型的求解方法. 最后, 用仿真算例对所提出的方法进行了说明.

An Option-game Based Method for Generation Investment Decision-making in Electricity Market Environment with Uncertain CO2 Mitigation Policy

Abstract: The impact of Greenhouse Gas (GHG) emission, CO2 in particular, on global climate warming has become a focus of concern of many countries, especially developed ones. Some climate change policies and protocols have been established for limiting the CO2 emission around the globe. In view of the fact that different mechanisms for mitigating the CO2 emission have been employed or proposed in different countries or regions, and those already implemented are still in an evolutionary procedure, the future CO2 emission prices would be highly uncertain. As the main source of the CO2 emission, thermal power plants would be inevitably impacted by a policy or mechanism used to limit the CO2 emission on operation profits and further on investment decision-making. In addition, in the electricity market environment, there exist some other uncertainties a generation company has to take into account in making its generation investment decision, such as the fuel price, electricity price and the investment behavior of other generation companies. Hence, it is an important issue for the generation company to well consider the impacts of these uncertain factors. Given this background, a new methodological framework of generation investment decision-making is developed for the generation company with several kinds of uncertain factors taken into account, by employing the option-game theory. Under the assumption that generation investment from different generation companies will be made sequentially, a solving method is presented based on the well-developed Barraquand-Martineau (B-M) option pricing model. Finally, a numerical example is served for illustrating the developed model and method.