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Title: Modelling and analysis of forward contract with bilateral options in electricity market
Other Titles: 具有双边选择权的电力远期合同建模与分析
Authors: Chung, TS
Zhang, SH
Wong, KP
Yu, CW
Chung, CY 
Keywords: Forward contracts
Electricity market
Risk management
Pricing model
Issue Date: 2003
Publisher: 電力工業部南京自動化硏究所
Source: 电力系统自动化 (Automation of electric power systems), 2003, v. 27, no. 21, p. 11-16 How to cite?
Journal: 电力系统自动化 (Automation of electric power systems) 
Abstract: This paper presents the modeling and analysis of a new forward contract with bilateral options in electricity market. This new contract enables both the seller and the buyer to take advantage of flexibility in generation and consumption to obtain a monetary benefit while simultaneously removing the risk of market price fluctuations. Theoretical model for pricing this type of forward contract is developed and analyzed. Some distinguishing features are revealed. Numerical examples are used to demonstrate the validity of the proposed model.
提出并分析了一种具有双边选择权的电力市场远期合同模型。这种新的远期合同使得合同双方可利用供电和用电的灵活性来获取经济收益 ,同时可回避市场价格的波动风险。发展和分析了该类远期合同的定价理论模型 ,并表明了其特点。所给算例表明该合同模型的有效性
ISSN: 1000-1026
Rights: © 2003 中国学术期刊电子杂志出版社。本内容的使用仅限于教育、科研之目的。
© 2003 China Academic Journal Electronic Publishing House. It is to be used strictly for educational and research purposes.
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