需求侧参与期权市场的电力市场均衡分析

WANG Ruiqing; LI Yuzeng; ZHANG Shaohua

您当前的位置：

首页 >

文章列表页 >

需求侧参与期权市场的电力市场均衡分析

更新时间：2025-08-13

- 需求侧参与期权市场的电力市场均衡分析
- Automation of Electric Power Systems Vol. 31, Issue 15, Pages: 22-25(2007)
- 作者机构：
  
  上海大学机电工程与自动化学院,上海市,200072
- 作者简介：
- 基金信息：
- DOI：
  CLC：
- Published：2007
- 稿件说明：
移动端阅览
WANG Ruiqing, LI Yuzeng, ZHANG Shaohua. [J]. Automation of electric power systems, 2007, 31(15): 22-25.
DOI：

WANG Ruiqing, LI Yuzeng, ZHANG Shaohua. [J]. Automation of electric power systems, 2007, 31(15): 22-25. DOI：

摘要

期权是电力市场参与者使用的主要金融工具之一。建立了风险厌恶的购电商以效用最大为目标、风险中立的发电商按Cournot方式竞争的两阶段博弈模型，给出了市场均衡的解析解。结果表明期权对电力市场的作用要强于远期合约，随着购电商等值风险规避指数和现货市场电价波动性的增加，发电商的市场力逐渐加强，为保持较高的收益和现货市场电价，发电商有兴趣维持现货市场电价的高波动性。

Abstract

Options is an important financial instrument for electricity market participants. At present， investigation on options mainly focuses on its pricing and risk management， yet there are a few literatures to deal with its impact on electricity market efficiency and generators' strategic bidding. A two-stage game model is presented where risk averse purchasers are assumed to maximize their utility in options market and risk neutral generators compete with Cournot conjectures. Analytical formulas for market equilibrium are developed. The results show that options makes electricity market more efficient than forward contracts. With the increase of purchasers' equivalent risk evasion index and the volatility of spot price， generators' market power abuse is enhanced. In order to retain higher payoff and spot price， generators show incentives to hold high volatility of spot price.

关键词

Keywords

references

Views

2085

下载量

CSCD

Alert me when the article has been cited

提交

Tools

Publicity Resources

风-光-储混合电力系统的博弈论规划模型与分析

Review on Research of Power-Transportation Fusion: Models, Algorithms and Key Issues

Coordinated Planning for AC/DC Hybrid Distribution Networks Considering Equilibrium Between Economy and Resilience

Nash Equilibrium Based Optimal Control Method for Hydrogen Production System with Photovoltaic-Storage Coupling

Planning of Electric Vehicle Fast Charging Station at District and County Levels Considering Stochastic User Equilibrium

Related Author

MEI Shengwei

WANG Yingying

LIU Feng

YANG Meng

CHEN Yue

XU Xiaoyuan

WANG Han

WEI Wei

Related Institution

State Key Lab of Power Systems， Department of Electrical Engineering， Tsinghua University

Key Laboratory of Control and Simulation of Power Systems and Generation Equipments (Tsinghua University)

Key Laboratory of Power Transmission and Conversion of Ministry of Education (Shanghai Jiao Tong University)

Department of Mechanical and Automation Engineering, the Chinese University of Hong Kong

College of Information and Electrical Engineering, China Agricultural University

⁰