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供电公司在电力市场交易时会面临很大的风险。为了规避这种风险,引入了奇异购电期权这一风险管理工具。奇异购电期权相比标准期权能为供电公司提供更为灵活有效的决策方法。建立了相应的数学模型,给出了供电公司购买奇异期权最优数量的解析解以及执行期权的策略和方法。通过计算和仿真,数例证明了结论的正确并且说明了利用奇异期权,供电公司可以大幅度地提高利润期望值。
Power companies face great risks when trading in the electricity market. In order to circumvent this risk, the introduction of exotic power purchase option risk management tools. Compared to standard options, the singular purchase option can provide a more flexible and effective decision-making method for the supply company. Establishes the corresponding mathematical model, gives the analytical solution of the optimal number of the singular option purchased by the power supply company and the strategy and method of executing the option. Through calculation and simulation, several examples prove the conclusion is correct and illustrate the use of strange options, power companies can significantly improve the profit expectations.