电力系统保护与控制2011，Vol.39Issue(1)：78-82,5.
结合强势卖方期权的电力远期合同模型
Modeling for electricity forward contracts combining with power put option
摘要
Abstract
With the steady decline in the electricity market monopoly, the risks of generator in regional monopoly seller market become apparent. This paper designs an electricity forward contract involving power put options based on the option theory. The analytical solution of the optimal quantity of power put options that the large power plant should reserve is calculated by modeling the maximum expectation profit. It is verified that the contracts with the put option has more practicality than general forward contracts for differences from the theoretical studies and numerical analysis, and it also improves profits of the large power plant with the power put option.关键词
电力市场/大发电商/强势卖方期权/风险管理/最优决策Key words
power market/ large power plant/ power put option/ risk management: optimal decision-making分类
信息技术与安全科学引用本文复制引用
王访,邹锐标..结合强势卖方期权的电力远期合同模型[J].电力系统保护与控制,2011,39(1):78-82,5.基金项目
湖南省教育厅资助项目(09C510) （09C510）
湖南农业大学青年基金资助项目(08QN12) （08QN12）
