| 一种新的发电商风险回避模型研究 |
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| 引用本文： | 马歆,侯志俭,蒋传文.一种新的发电商风险回避模型研究[J].上海交通大学学报,2005(Z1). |
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| 作者姓名： | 马歆 侯志俭 蒋传文 |
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| 作者单位： | [1]南开大学虚拟经济与管理研究中心 [2]上海交通大学电气工程系 [3]上海交通大学电气工程系 天津 |
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| 基金项目： | 国家自然科学基金资助项目(50079006) |
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| 摘 要： | 市场环境下,电力价格的变化形式比传统条件下更为复杂,发电商要同时面对燃料市场和电力市场中的市场风险.在燃料市场和电量市场之间构造出交叉商品组合,并在此基础上引入摆动期权合约设计了发电商的风险回避模型.该模型形式灵活、易于实现,发电商能够较有效地回避市场风险.
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| 关 键 词： | 电力系统 风险回避 摆动期权合约 |
Study on a New Risk-Avoid Model of Generators |
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| MA Xin,HOU Zhi-jian,JIANG Chuan-wen.Study on a New Risk-Avoid Model of Generators[J].Journal of Shanghai Jiaotong University,2005(Z1). |
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| Authors: | MA Xin HOU Zhi-jian JIANG Chuan-wen |
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| Institution: | MA Xin1,HOU Zhi-jian2,JIANG Chuan-wen2 |
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| Abstract: | In deregulation markets, the variety of electricity price is more drastic and complex than those in regulation industry. Generators will face market risks in energy market and electricity market at the same time. A cross-commodity spread was constructed between energy market and electricity market, on this basis, a risk-avoid model was designed by incorporating swing options. This model is flexible and easy to realize. Generators can efficiently avoid market risks by using this model. |
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| Keywords: | electric power system risk-avoid swing options contract |
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