考虑期权合约的电力市场纳什均衡分析
Analysis of Nash Equilibrium for Electricity Markets Considering Options Contracts
DOI: 10.12677/SG.2019.92007, PDF,   
作者: 汪润生：安徽大学，电气与自动化学院，安徽 合肥
关键词: 期权；博弈论；电力市场；纳什均衡；Options； Game Theory； Electricity Markets； Nash Equilibrium
摘要: 由远期合约和期权合约等场内交易品所组成的电力金融衍生产品市场为市场参与者利用金融衍生工具回避电力市场中的价格风险等短期市场行为提供了有效的场所。而关于期权的引入对发电商电价竞争优化策略的影响研究甚少。本文基于考虑电力期权和市场中发电商的数量，为提高市场效率和维持市场电价和收益稳定性建立了市场均衡的博弈模型，结果表明期权的存在可以在一定程度上抑制发电商的滥用市场力，提高了市场效率，所以鼓励更多的发电商进入期权市场，以维持现货电价的高波动性，有利于保持稳定的收益和较高的现货电价。
Abstract: The electricity financial derivatives product market, which consists of outside-market products such as forward contracts and options contracts, provides an effective place for market participants to avoid short-period market behaviors such as price risk in the power market by using financial derivatives. However, there is little research on the impact of options on the bidding strategies of power suppliers. This paper establishes a game model of market equilibrium based on the consideration of electricity options and the number of generators in the market to improve the market efficiency and maintain the stability of market price and income. The results show that the existence of options to a certain extent inhibits the abuse of market power by generators, improves the market efficiency, and encourages more generators to join options. In the market, maintaining the high volatility of spot electricity price is conducive to maintaining stable income and high spot electricity price.
文章引用：汪润生. 考虑期权合约的电力市场纳什均衡分析[J]. 智能电网, 2019, 9(2): 61-69. https://doi.org/10.12677/SG.2019.92007

参考文献

[1] Manbachi, M., Parsaeifard, A.H. and Haghifam, M.R. (2009) A New Solution for Maintenance Scheduling Using Maintenance Market Simulation Based on Game Theory. Electrical Power & Energy Conference (EPEC), Montreal, QC, 22-23 October 2009, 1-8.
[2] Ventosa, M., Baíllo, A., Ramos, A., et al. (2005) Electricity Market Modeling Trends. Energy Policy, 33, 897-913.
[Google Scholar] [CrossRef] 
[3] Powell, A. (1993) Trading Forward in an Imperfect Market: The Case of Electricity in Britain. The Economic Journal, 103, 444-453.
[Google Scholar] [CrossRef] 
[4] Song, H.L., Liu, C.Q. and Jacques, L. (2002) Nash Equilibrium Bidding Strategies in a Bilateral Electricity Market. IEEE Transactions on Power Systems, 17, 73-79.
[Google Scholar] [CrossRef] 
[5] Batstone, S. (2000) An Equilibrium Model of an Imperfect Electricity Market. Proceedings of the 35th ORSNZ Conference, University of Victoria, Wellington, New Zealand.
[6] Bessembinder, H. and Lemmon, M.L. (2002) Equilibrium Pricing and Optimal Hedging in Electricity Forward Markets. The Journal of Finance, 57, 1347-1382.
[Google Scholar] [CrossRef] 
[7] 张显, 王锡凡, 王建学, 等. 可中断电力合同中新型期权的定价[J]. 中国电机工程学报, 2004, 24(12): 18-23.
[8] Tanlapco, E., Lawarrée, J. and Liu, C.C. (2002) Hedging with Futures Contracts in a Dereg-ulated Electricity Industry. IEEE Transactions on Power Systems, 17, 577-582.
[Google Scholar] [CrossRef] 
[9] 徐善鹏, 任震, 黄雯莹. 电力市场的双边优先权保险机制[J]. 中国电机工程学报, 2003, 23(7): 32-35.
[10] Anderson, E.D. and Xu, H.F. (2005) Optimal Supply Function in Electricity Markets with Option Contracts and Non-Smooth Costs. University of New South Wales, AGSM Working Paper.
[11] Barquin, J. (2012) On Oligopolistic Electricity Market Equilibria and Contingent Claims. University of Pontificia Comillas, Madrid, Spain.
[12] Willems, B. (2006) Cournot Competition, Financial Option Markets and Efficiency. CSEM Working Paper of California 94720-5180, Berkeley, University of California.

为你推荐