【摘要】 讨论了基于Δ-对冲原理的期权数值定价方法-二叉树法,对电力期货期权的模型参数作了匹配和估计,并针对PJM市场电力期货的期权作了实证分析。结论表明:二叉树法等一些期权数值计算方法可以对现有的电力期货期权作出较为有效的定价。此外还针对PJM市场的运作状况作了介绍,并基于此提出了对中国电力市场化改革的建议。更多还原

【Abstract】 This paper discusses a value computation method –binomial tree model,matches and estimates the option of electric futures model,and analyses option in PJM market with an example.The conclusion indicates that the bionomial tree model is a useful method for pricing the future option.In addition,it introduces the operation of the PJM market and proposes suggestions to chinese electric power marketability reform.更多还原