考虑期权合约的电力市场古诺_纳什均衡分析_王瑞庆.pdfVIP

第 28 卷 第 1 期 中 国 电 机 工 程 学 报 Vol.28 No.1 Jan. 2008 2008 年 1 月 Proceedings of the CSEE ©2008 Chin.Soc.for Elec.Eng. 83 0258-8013 (2008) 01-0083-06 TM 73 F 123 A 470 40 文章编号： 中图分类号： ； 文献标识码： 学科分类号： ⋅ 考虑期权合约的电力市场古诺−纳什均衡分析 王瑞庆，李渝曾，张少华 (上海大学自动化系，上海市 闸北区 200072) Analysis of Cournot-Nash Equilibrium for Electricity Markets Considering Options Contracts WANG Rui-qing, LI Yu-zeng, ZHANG Shao-hua (Department of Automation, Shanghai University, Zhabei District, Shanghai 200072, China) ABSTRACT: Option is an important financial instrument for 束和电能损耗的特性，使得电力市场更接近于寡头 generators developing strategic bidding and evading market risk. 垄断市场。电力工业的市场化，使发电商面临着前 At present, investigation on options mainly focuses on its risk 所未有的价格波动风险，因此如何制定竞争策略、 aversion behavior, yet there are a few literatures to investigate 规避风险、最大化企业效益成为各个市场主体关心 its effect on generators’ strategic bidding. A two-stage Cournot 的主要问题。 equilibrium model considering power options contracts is 为规避市场风险，远期合约、期货合约和期权 developed and analytical formulas for market equilibrium are presented in this paper. The results show that the existence of 等金融衍生产品逐步引入了电力市场，这些金融衍 options accelerates market competition and mitigates market 生产品对电力市场效率和发电商竞价策略的影响成 power abuse of generators, and that in order to retain higher 为了近几年国内外的热门研究课题。文献[1]在比较 spot price and stable payoff, generators are interested in holding 各种研究方法后，认为较有实用价值的方法是预测 high volatility of spot price. 市场统一出清价和根据市场上可获取的信息估计其 KEY WORDS: electricity markets; options