【作者】 柳江；

【导师】 马超群；

【作者基本信息】 湖南大学 ， 管理科学与工程， 2006， 硕士

【摘要】 可中断电力远期是一种隐含期权的电力远期,科学运用可中断电力远期规避市场风险的关键是对其隐含的期权进行有效的定性与定价。从综述的相关研究文献中可以看出,可中断电力合约内容包含多项要素,每项要素都会对可中断电力远期中期权的特征产生影响。现有文献分别针对提前通知时间、中断执行次数等某项内容对可中断电力远期隐含期权的定性和定价进行了研究,但都没有研究中断持续时间对可中断电力远期隐含期权的定性和定价的影响。基于以上的现实和理论背景,本文研究了中断持续时间对可中断电力远期隐含期权的定性和定价的影响。通过分析中断持续时间对中断决策的影响,指出发电商可中断电力远期中隐含的期权为亚式期权;并对该亚式期权进行了定价研究,构建了亚式期权的定价模型;通过数值算法分析,修正蒙特卡罗模拟路径及参数设置,编写MATLAB程序进行仿真分析。研究结果表明:本文的思想、模型与方法是有效的,符合现实预期;中断持续时间对可中断电力远期特征的影响是不容忽视的;在其他要素一定的情况下,考虑中断持续时间影响比不考虑中断持续时间影响的中断决策要更加理性:中断次数要少,但隐含的期权价值更大,能更好地实现套期保值。本文首次分析了中断持续时间对可中断电力合约的中断决策的影响,创造性地运用亚式期权理论对该问题进行了研究。本研究可为电力市场主体科学运用可中断电力远期规避市场风险,实现套期保值,进行市场投机,以及为我国当前推进电力市场改革,加强需求侧管理和可中断负荷的定价提供理论指导。更多还原

【Abstract】 The interruptible electricity forwards is a kind of option implied electricity forwards. The key to employ the interruptible electricity forwards to evade market risk scientifically is to understand the nature and price the implied option reasonably. From the relevant research literature, we can see that the interruptible electricity forwards contract includes a few elements, and every element may affect the nature of the implied option in the interruptible electricity forwards. Previous researches have explored the features and the pricing of the options implied in the electricity forwards evolved from the different combinations of the elements, such as early notification, the number of times of exercising interruption involved in the interruptible electricity forwards. Surprisingly, the existent researches have ignored the effect of the interruption duration on the features and the pricing of the option implied in the forwards.The purpose of this research is to remedy the drawback of the previous researches and research into the effect of the interruption duration on the features and the pricing of the option implied in the forwards. The thesis analyzes the effect of the interruption duration on the decision making for the interruption of the electricity forwards contract; proposes that the implied option embedded in a generator’s interruptible electricity forwards is an Asian-option; researches into the pricing method; and constructs a pricing model for the Asian-option. A simulation analysis is conducted with numeric value algorithm analysis, revision the simulation route and the parameters of Monte Carlo, and MATLAB programs, and the simulation results show that the ideas, the methods and the model in this thesis are all valid, and corresponds to the realistic expectation; the effect of interruptible duration on the characteristics of the interruptible electricity forwards can never be neglected; holding other things fixed, the decision with the effect of interruptible duration taken into account is more sensible than that decision made without considering the effect; and the less of interruptible duration, the more value of the implied option.The thesis initiates an analysis of the effect of the interruption duration on the decision making for the interruption of the electricity forwards contract, creatively applies the theory of Asian-option to this problem. This research can be utilized by the market players to evade the market risk, to hedge and to speculate in the electricity market. The thesis will contribute to the ongoing reform in the electricity market, and provides theoretic guidance to strengthening the management on the demand-side and the pricing of the interruptible load.更多还原