Modelling and analysis of forward contract with bilateral options in electricity market

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