电力系统自动化2003，Vol.27Issue(21)：11-16,6.
具有双边选择权的电力远期合同建模与分析
MODELING AND ANALYSIS OF FORWARD CONTRACT WITH BILATERAL OPTIONS IN ELECTRICITY MARKET
钟德成 1张少华 2黄杰波 1余志伟 1钟志勇1
作者信息
- 1. 香港理工大学电机工程系,香港
- 2. 上海大学自动化系,上海市,200072
- 折叠
摘要
Abstract
This paper presents the modeling and analysis of a new forward contract with bilateral options in electricity market. This new contract enables both the seller and the buyer to take advantage of flexibility in generation and consumption to obtain a monetary benefit while simultaneously removing the risk of market price fluctuations. Theoretical model for pricing this type of forward contract is developed and analyzed. Some distinguishing features are revealed. Numerical examples are used to demonstrate the validity of the proposed model. 关键词
远期合同/电力市场/风险管理/选择权/定价模型Key words
forward contracts/electricity market/risk management/option/pricing model分类
信息技术与安全科学引用本文复制引用
钟德成,张少华,黄杰波,余志伟,钟志勇..具有双边选择权的电力远期合同建模与分析[J].电力系统自动化,2003,27(21):11-16,6.
