| 运行资产价值的实物期权模型及短期风险评估研究 |
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| 引用本文： | 刘涌,侯志俭,马歆.运行资产价值的实物期权模型及短期风险评估研究[J].华东电力,2005,33(5):51-54. |
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| 作者姓名： | 刘涌 侯志俭 马歆 |
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| 作者单位： | 上海交通大学,电气工程系,上海,200030;上海交通大学,电气工程系,上海,200030;上海交通大学,电气工程系,上海,200030 |
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| 摘 要： | 运用实物期权理论研究发电商短期内的运行资产价值,并引入了VaR风险价值的概念,对短期内发电商运行的价值进行了风险评估。在电力市场条件下,针对发电商一般会同时在现货市场和合同市场上分配出力的情况,考虑机组的技术约束,采用蒙特卡罗模拟与动态规划法相结合的方法,对发电商的运行资产价值及其风险作出了定量分析。
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| 关 键 词： | 实物期权 风险评估 电量合同 无差别轨迹 |
| 文章编号： | 1001-9529(2005)02-0051-04 |
| 修稿时间： | 2004年10月8日 |
Study on real option model and short-term risk evaluation of generation assets value |
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| LIU Yong,HOU Zhi-jina,MA Xin.Study on real option model and short-term risk evaluation of generation assets value[J].East China Electric Power,2005,33(5):51-54. |
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| Authors: | LIU Yong HOU Zhi-jina MA Xin |
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| Abstract: | The real option theory was applied to study the generation assets value of the power suppliers over a short-term period and the VaR risk value was introduced for the risk evaluation of the short-term generation assets value. In power market, aiming at the fact that the power suppliers always distribute the output both in the spot and the contract markets, the generation assets value of the power suppliers and the risks were analyzed quantitatively, considering the unit commitment constraints and using the method of combining the forward-moving Monte-carlo simulation and the backward-moving dynamic programming. |
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| Keywords: | real option risk evaluation electricity contract indifference locus |
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