第33卷 第5期 年5月May 2005运行资产价值的实物期权模型及短期风险评估研究ਾ Ⴄ,ޥᆽࡦ,ઔ ᦵ(ഈݚࢌ๙ն࿐గ۽ӱ༢,ഈݚ 200030)ᅋ ေ:ᄎႨൌ௹ಃં࣮ؿഅ؋௹ଽ֥ᄎྛሧӁࡎᆴ,ѩႄೆਔVaRڄགࡎᆴ֥ۀ,ؓ؋௹ଽؿഅᄎྛ֥ࡎᆴࣉྛਔڄགܙbᄝ৯൧ӆ่ࡱ༯,ᆌؓؿഅ၂Ϯ߶ൈᄝགྷࠊ൧ӆބކ൧ӆഈٳԛ৯֥౦ঃ,ॉ੮ࠏቆ֥ඌჿඏ,ҐႨหवઅଆაܿ߃مཌྷࢲކ֥ٚم,ؓؿഅ֥ᄎྛሧӁࡎᆴࠣఃڄགቔԛਔקਈٳ༅bܱՍ:ൌ௹ಃ;ڄགܙ;ਈކ;ҵљ݅ࠖᇏٳোݼ: ໓ངѓ്:A ໓ᅣщݼ:1001-9529(2005)02-0051-04Studyonrealoptionmodelandshort-termriskevaluationofgenerationassetsvalueLIUYong,HOUZhi-jina,MAXin(,ShanghaiJiaotongUniv.,Shanghai200030,China)Abstract:,aimingatthefactthatthepowersuppliersalwaysdistributetheoutputbothinthespotandthecontractmarkets,thegenerationassetsvalueofthepowersuppliersandtheriskswereanalyzedquantitatively,:realoption;riskevaluation;electricitycontract;indifferencelocus Deng֩ದ[1]০Ⴈൔ௹ಃ֥ཌྷܱં,࣮Ӂ௹ಃഈ֥ঔᅚ,ࠧᄝ҂ಒקߌᇏ֥ܵᆀؓཛؿഅᄎྛሧӁ֥ࡎᆴ໙ีbھ໓ીႵॉ੮ࠏቆଢሧᇏ֥మᄝ൬ၭބࡎᆴ֥ܙაथҦᇅק[3]b֥ඌჿඏ,ࣇࣇಪູ֒฿ಖగ֥ࡎ۬აࡎ֥ؓႿؿഅটඪ,ႚႵ֥൞ؿࠏቆ,ࠧᄎྛሧӁbбᆴۚႿႅݣಣིੱ֥ൈ,ީؿഅࣼ๔ࠏ,ೂݔᄝ৯൧ӆߌ༯,૫֥ؓ൞ਈ൧ӆᇏགྷࠊ฿ಖగ֥ࡎ۬აࡎ֥бᆴ֮Ⴟಣིੱ֥ൈ,ީࡎ֥э߄aਈކ൧ӆᇏކࡎ֥۬э߄ބಗਘؿഅࣼषࠏ,ᆃဢӁള֥ުݔ൞ۚܙਔᄎྛሧ൧ӆᇏ֥ࡎ۬э߄,Ֆࠏቆᇏ֥൬ၭ౼थႿᆃུӁ֥ࡎᆴbTseng֩ದᄝॉ੮ਔؿࠏቆჿඏ֥ၹ֥э߄bࡌഡ၂۱ؿഅ൞၂۱ࡎ۬ࢤ൳ᆀ౦ঃ༯০Ⴈൌ௹ಃ֥ۀԚ҄ࡹ৫ਔؿഅᄎ֥߅,ॖၛ۴ऌᆃུၹ֥э߄টथקሱ࠭൞ڎྛሧӁ֥ࡎᆴଆ[2]bھ໓ીႵॉ੮ਈކᄝଖ၂۱ൈࡗ؍षa๔ࠏ,ೂݔᄝषࠏ֥ሑ༯,थ֥ၹ,္ીႵؓڄགࣉྛܙ,൮༵ࡹ৫ਔॉ੮קሱ࠭ᄝଖ၂۱ൈࡗ؍ᇏ֥ਈགྷࠊ൧ӆഈؿ؟ਈކ֥ؿഅᄎྛሧӁࡎᆴ֥ൌ௹ಃଆഒ,ᄝਈކ൧ӆഈؿ؟ഒbऎֹุඪ,ࣼ,࣮ਔ၂קൈࡗ؍ଽࠏቆჿඏ่ࡱؓؿഅཌྷ֒ႿؿഅႚႵ1ٺ௹ಃކჿ,ھ௹ಃڮჍؿᄎྛሧӁࡎᆴ֥႕ཙ,ಖުႄೆਔVaRڄགࡎᆴഅᄝ၂קൈࡗଽႵಃ৯οᆳྛࡎ۬(ሧӮЧ,Վ֥ۀ,קਈֹؓ؋ൈ௹ଽؿഅᄎྛሧӁ֥ࡎԩࠧؿӮЧ)ࠧಒק൞षࠏߎ൞๔ࠏ,ࠇᆀಒקᆴࣉྛਔڄགܙ,ิԛਔ၂۱ᄝ൧ӆߌ༯൞ᄝਈགྷࠊ൧ӆഈߎ൞ᄝਈކ൧ӆഈԛ൲ܙؿഅᄎྛሧӁࡎᆴ֥ྍ֥ٚمაනਫ਼bѓ֥ሧӁ(ਈ)bࣁವ௹ಃ၂ဢ,ھჿקሧӁ֥൧ӆࡎᆴ൞ෛ൧ӆэ߄طѯ,֥֒൧ӆࡎ۬ն1 ൌ௹ಃંაؿഅᄎྛሧӁࡎᆴႿᆳྛࡎ۬ൈ,܄ඳьᆳྛھ௹ಃ(ࠧ࿊ᄴሧ,ؓൌ௹ಃ൞ࣁವ௹ಃંᄝൌ(٤ࣁವ)ሧႿؿഅটඪࣼ൞ؿ)b
52(总337)2005,33(5)2 ॉ੮ކਈ֥ؿഅᄎྛሧӁൌ(4)ࠏቆކਈൻԛჿඏminmax௹ಃଆcqFCqtFmaxmaxcq(8)(5)ࠏቆ֥ఓٮႨ,Վԩഡູӈඔ ଆ֥ࡹ৫S1 xt=-tؿഅ֥ଢѓݦඔູᄝଖ၂ൈࡗ؍ଽ֥ሹ൬Su(xt)=0 ః(9)ၭቋն,ॉ੮ਈކᆭުೂൔ(1)෮ൕ,ᆃൈؓ(6)ࠏቆ֥๔ᄎٮႨ,Վԩഡູӈඔਈކ֥ԩ൞ఃކਈູࠏቆሹಸਈ֥onS2 xt=t1۱Ϥٳбٓຶ,ᆺေࠏቆିܔิ܂ഈຩਈ,ࣼSd(xt)=0 ః(10)сྶ༵ડቀܿק֥ކਈ,ഺჅ֥Ҍିҕაགྷൔ(1)~(10)৳৫֥ٚӱቆູࠧॉ੮ކࠊ൧ӆ֥ࣩᆚbਈ֥ؿഅᄎྛሧӁൌ௹ಃଆbTCECFJ0=maxEE6[ft,qt,qt,pt,pt,pt)-ೂݔ҂ॉ੮ކਈ,ࠧࡼଢѓݦඔᇏ֥Cptu,qE,qCt=0tttಀו,ପહଢѓݦඔॖၛࡥ߄ູೂ༯ྙൔ: Su(xt)ut-Sd(xt)(1-ut)](1)Tఃᇏ: J0=mEEFaxE6[ft(xt,qt,pt,pt)-u,qEt=0ECECFttft(xt,qt,qt,pt,pt,pt)= Su(xt)ut-Sd(xt)(1-ut)](11)EECCECF[ptqt+ptqt-C(qt,qt,pt)]sign(xt)(2)ఃᇏ:1EEFEEF xt>0ft(xt,qt,pt,pt)=[ptqt-CE(qt,pt)]sign(xt)sign(xt)=(3)0 xtF0EEE={ptqt-[a0+a1qt+౼ؿࠏቆ֥ӮЧݦඔູؽՑӮЧݦඔE2F: a2(qt)]pt}sign(xt)(12)C CEF(qt,qt,pt)=Վູࠧ҂ॉ੮ކਈ֥ؿഅᄎྛሧӁൌECEC2F [a0+a1(qt+qt)+a2(qt+qt)]pt(4)௹ಃଆbჿඏ่ࡱႵ: ଆ֥ࢳٚم(1)ቋཬᄎྛൈࡗބቋཬ๔ᄎൈࡗჿඏႮႿਈaކބಗਘ֥ࡎ۬҂ಒק,෮ၛॉon11Fxt<t੮ކਈ֥ؿഅᄎྛሧӁൌ௹ಃଆൌ࠽off0-t<xtF-1ഈ൞1۱ෛࠏଆ,ॖၛ๙ݖหवઅٚمބෛut=uࠏܿ߃مࢳbॖၛࡼھଆुቔ൞ਆ۱໙t-1tt=00ࠇ1ః(Վൈླေࣉྛఓ๔थҦี֥ሸކ,၂҆ٳ൞ࠏቆᄝथҦׄxtI5ൈީ֥)ᄎྛथҦ໙,ีࠧಒקࠏቆႋھषࠏߎ൞๔ࠏ;ਸ਼(5)ູਔษં֥ٚьon,ࡼ5S{xtIZ|x=torx၂҆ٳ൞ԩႿᄎྛሑླࣉྛఓ๔थҦൈ֥off=-ࠏቆቋႪט؇໙,ีࠧ۴ऌࡎ֥۬э߄౦ঃ,ؿt}קၬູࠏቆఓ๔֥थҦࡗbഅಒקࠏቆ֥ؿਈၛࠣ෮ؿਈᄝགྷࠊ൧ӆބ(2)ࠏቆሑሇ၍ჿඏmonކ൧ӆᇏ֥ٳ,ሱ࠭ᄎྛሧӁࡎᆴቋնbin(t,xt-1+1)0<xt-1&ut-1=1on൮༵࣮ࠏቆԩႿᄎྛሑ༯֥ቋႪט؇໙-1xt-T=t&ut-T=0ีbࡌഡࠏቆᄝtൈख़ԩႿᄎྛሑ,ପહᄝॉmoffax(-t,xt-1-1)xt-1<0&ut-1=0੮ਈކ֥౦ঃ༯,ॖ֤ࠏቆԛ৯֥ቋႪࢳ:xofft=1xECCminmaxt-S=-t&ut-S=1qt,1=qt-qt,1,qt,1=cqEECm(13)0ః(ᆞԩႿषܱࠏaxmaxqt,2=qt-qt,1,qt,2=cq௹ࡗ,مิ܂ഈຩᄝਆᇕॖିࢳ֥ቆކᇏሹႵ1۱ࢳEC(q^t,q^t)ਈ)ଢѓݦඔቋႪb(6)҂ॉ੮ކਈൈ,ࠏቆԛ৯֥ቋႪࢳູ(3)ࠏቆൻԛۿੱഈ༯ཋჿඏEFEmaxpt/pt-a1q,mminminq^qt=minaxq,(14)sign(xt)FqtFmaxqsign(xt)(7)2a2ఃᇏECqt=qt+qtၹՎؿഅᄝtൈख़֥ᄎྛሧӁࡎᆴॖၛі
ਾ Ⴄ,֩ 运行资产价值的实物期权模型及短期风险评估研究53(总338)ൕູC(i)F(i)(i)(i)(i)(i)pt,pt)-Su(xt)ut-Sd(xt)(1-ut);ECFJi)t(xt,pt,pt,pt)=(6)Ⴎ(utބ(i)xt,۴ऌൔ(6)֤֞(i)(i)xt+1,xt+SࠇECECFft(xt,q^t,q^t,qt,qt,pt)+ᆀ(i)xt+T,ཌྷႋֹᇗᇂtºt+1,tºt+Sࠇᆀtºt+T; monECFaxEt{Jt+1(xt=t,pt+1,pt+1,pt+1)ut(7)ೂݔt>T,ପહᇂtº(i)t0,iºi+1,Jºut0,ሇ֞҄ᇧ5,ڎᄵሇ֞҄ᇧ3;on xt=t1n(i)ECF(8)ൻԛJt=6J,ࢲඏ࠹ෘb +[Jt+T(x0t=-1,pt+T,pt+T,pt=T)-ni=1 Sd(x)](1-u)}ေหљᆷԛ֥൞Чෘمᇏut൞ቔູԚҕtt0ECECFft(xඔ۳ק,֥ၹՎЧෘمԛট֥ൌ࠽ഈ൞Jt(xt,q^t,q^t,qt,qt,pt)+0t,ECFECut,pt,pt,pt),ߎླေ۴ऌൔ(16)ԛEJt(x0t,pt, maxEFt{Jt+S[xt=1,pt+S,pt+S,pt+S)-Su(xt)]ututCFpt,pt)b္ᆞၹູೂՎ,ᆃ۱ෘم࠻൞ቋުࢳoff xt=tؿഅ௹ຬ൬ၭ֥ෘم,Ⴛ൞ࢳҵљ֥݅ࠖECF +Jt+1(x,pt+1,pt+t+11,pt+1)(1-ut)}ෘمbEt0=T-1,ٳљԛJt(x0t,ut=1,pt,ECECFCFECFft(xt,q^t,q^t,pt,pt,pt)pt,pt)ބJt(x0t,ut=0,pt,pt,pt),ಖުࣼॖၛ֤ EECF֞ડቀECFgt(xt,pt,pt,pt)=0֥ࡎ۬ؓECF(pt,pt,pt)t[Jt+1(xt+1,pt+1,pt+1,pt+1)]֥ࠢކ,ࠧt0=T-1ൈख़֥ҵљ݅ࠖbಖު၇ ః(15)Ցభ,֤֞t0=T-2,T-3,,,,1֥ҵљ݅ၘᆩႵၛ༯ܱ༢ࠖbၹՎॖၛඪؓЧଆ֥ࢳࣼ൞భཟ֥หECFECFJt(xवઅଆބުཟ֥ܿ߃ٚم֥ሸކbt,pt,pt,pt)=maxJt(xt,ut,pt,pt,pt)uI{0,1}t(16)3 VaRڄགܙٚمၹՎECFEgt(xt,pt,pt,pt)=Jt(xt,ut=1,pt,VaR(ValueofRisk)൞1ᇕႋႨܼ֥ٗڄགCFECFpt,pt)-Jt(xt,ut=0,pt,pt,pt),ѩοೂ༯ܱ༢קਈٚم,ႮJPMorgan܄ඳੱ༵ิԛ[4]b֒ൈൔؓࠏቆࣉྛఓ๔थҦJPMorganሹҊWeatherstongeေః༯උૄ฿༯ECF1gt(xt,pt,pt,pt)>0ᄝ֒฿ࢌၞࢲඏު֥16:15,۳1ٺ1်֥ECFut=0gt(xt,pt,pt,pt)<0(17)Бۡ(ࠧᇷ֥Бۡ),ඪૼ܄ඳᄝໃট24ECFuhሹุഈ֥మᄝാ൞؟ഒbູՎ,JPMorgan܄t-1gt(xt,pt,pt,pt)=0֒ࡎ۬ؓECFEඳ֥ڄགܵದჴषؿਔ1ᇕିܔҩਈ҂ࢌ(pt,pt,pt)໊ႿؓႋႿgt(xt,pt,CFၞa҂ြༀ҆൧ӆڄག,֥ѩࡼᆃུڄགࠢӮpt,pt)=0֥݅ࠖഈൈ,ؓࠏቆંቔ/षࠏ0ߎ൞/๔ࠏ0थק,ః௹ຬ൬ၭ൞ཌྷ֩,֥ႮՎູ1۱ඔ֥ڄགҩਈٚم)))VaRbVaR֥ݣၬ,קၬ෮ႵડቀECF൞/ԩႿڄགᇏ֥ࡎᆴ0,൞ᆷ൧ӆᆞӈѯ༯,gt(xt,pt,pt,pt)=0֥֥ׄࠢކູᄝtൈख़ఓ๔थҦ֥/ҵљ݅ࠖ0bཁಖ,ᆺေିଖ၂ሧӁࠇᆀሧቆކ֥ቋնॖିാb۷ູಒ֤֞෮Ⴕൈख़֥ҵљ݅ࠖ,ࣼॖၛࢳथఓ๔थ్֥൞,ᆷᄝ၂ק֥ۀੱඣ(ᇂྐ؇)༯,ଖ၂Ҧ֥໙ีbሧӁࠇᆀሧቆކᄝໃটหק֥၂؍ൈࡗଽ֥ቋၹՎնॖିാᆴbVaRᆴބ෮࿊౼֥ൈࡗӉ؇Ⴕܱ,ᆜ۱ଆ֥ऎุࣷࢳ҄ᇧೂ༯:༢,ॖၛіൕ:ູ(1)ᄝൈख़t0,ࡎູ۬ؓSRF(pt,p0t,p0t)֥ൈ0ީ,۳קԚ൫่ࡱxt,u0tࠣଆՑඔProb($P<VaR)=1-c(18)N;0ఃᇏ $P)))ሧӁቆކᄝൈࡗ$tଽ֥ാᆴ;(2)ᇂtºi)t0,iº(1,Jº0,ሇ֞҄ᇧ4;VaR)))ᇂྐඣc༯ԩႿڄགᇏ֥ࡎᆴb(3)ೂݔi>N,ሇ֞҄ᇧ8,ڎᄵ౼၂ؓဢЧՎԩVaRބ$Pन౼ູڵඔྙൔbࡌഡଖ܄ࡎ۬ؓE(i)C(i)F(i)(pt,pt,pt);ඳ2003୍ᇂྐ؇ູ95%֥ರVaRᆴູ(4)Ⴎൔ(5)ބൔ(17)؎थҦэਈ(i)ut;ჭ,۴ऌVaR֥קၬ,ఃݣၬ൞ᆷھ܄ඳॖၛၛ(i)i)(5)Jº(C(i)E(i)J+f(xt(i),qtE(i),qt,pt,95%֥ॖିྟЌᆣ,2003୍ૄ۱หקൈࡗׄഈ
54(总339)2005,33(5)ሧቆކᄝໃট24hᆭଽ,ႮႿ൧ӆࡎ۬э߄طջ҂ॉ੮ࠏቆ֥ඌჿඏ,ପહؿഅᄎྛሧӁᄝট֥ാ҂߶ӑݖჭ,ೂݔࢳӮ൬ၭໃট24hଽࡎᆴ֥௹ຬᆴ߶Фݖۚܙ࠹,ೂݔၛࠧіൕ൬ၭ҂߶֮ႿჭbVase2ൈ֥௹ຬᆴູࠎሙ,ᄝ҂ॉ੮ࠏቆඌჿඏ֥4 ෘ২Case1ൈ,ᄎྛሧӁࡎᆴ֥௹ຬᆴФݖܙਔ%,طೂݔၛCase3ൈ֥௹ຬᆴູࠎሙ,ᄝ҂ ࡎ۬эଆ[5]ॉ੮ࠏቆඌჿඏ֥Case1ൈ,ᄎྛሧӁࡎᆴФགྷࠊ൧ӆᇏགྷࠊࡎ֥э߄ݖӱऎႵઔغॏݖܙਔ%bᆃ۱ࢲݔ္ّ႘ԛཌྷؓႿඌჿڏหྟބनᆴ߭گ,ྟᆃ2۱ࡎ۬җҵਙэඏᄀ఼֥౦ঃ,҂ॉ੮ඌჿඏൈᄎྛሧӁࡎᆴડቀAR(1)ෛࠏקࡎଆ,ପહࡎ۬эଆॖ֥௹ຬᆴФݖۚܙ࠹֥ږ؇ᄀնbၛіൕі2 ҂౦ঃ༯ؿഅᄎྛሧӁࡎᆴ֥௹ຬᆴ:ູ(i)=p¸(i)+$p(i)(19)$Kp(i)=A$KSon0410p(i-1)+RE(i)ൔᇏSoff0410KKI{S,R},p¸(i)൞གྷࠊ൧ӆᇏֻi۱ࢌS014ၞൈ؍֥ࡎ֥۬नᆴT014,$Kp(i)൞ࡎ۬ਙ֥җҵਙx01410:AބR൞ӈඔ,ડቀ|A<1|,ࠧіૼࡎ֥۬эSթᄝनᆴ߭گหu010001100,ྟRᄀն,ࡎ۬эږ؇ᄀն:Sd0600650Eໃট24hᄎྛሧӁ(i)~WN(0,1)ູડቀनᆴູ0,ٚҵູ1֥Ϣᄮࡎᆴ֥௹ຬᆴ(á934549232688395)ലbᄝൌ࠽ളӁႋႨᇏ,ᆃུඔऌॖၛ๙ݖؓᇂྐ؇ູ95%֥VaR(á)591095897653907ൎඔऌ֥࠹ٳ༅֤֞bࡌഡ1۱ࢌၞರଽ24۱ൈ؍֥གྷࠊࡎ֥नᆴೂі1෮ൕbႮႿࡌഡ෮5 ࢲં࣮֥ࠏቆ൞ಗિࠏቆ,طિฒࡎ۬ᄝ؋ൈ௹֥эЧ໓ႄೆਔ၂ᇕ࣮҂ಒקߌ༯ႨႿ٤ࣁޓཬ,෮ၛॖၛಪູᄝ෮࣮֥ൈࡗ؍ଽિฒࡎವሧӁሧ֥ܵൌ௹ಃනམ,൮༵ࡹ৫ਔॉ۬Ќӻ҂э,Վԩࡼિฒࡎ۬ᅼކӮૄളӁ1੮ਈކ֥ؿഅᄎྛሧӁࡎᆴ֥ൌ௹ಃଆMW#h৯෮ླေܓઙિฒ֥ٮႨ,ಪູ൞1۱ӈ,࣮ਔ၂קൈࡗ؍ଽࠏቆჿඏ่ࡱؓؿഅඔ5á/(MW#h),Վԩ౼A=,R=3bطؓႿᄎྛሧӁࡎᆴ֥௹ຬᆴ֥႕ཙ,קਈֹؓॉ੮҂ਈކࡎ۬ᄵ౼1۱ܥקᆴ15á/(MW#h),ॉ੮ࠏቆඌჿඏൈ֥ᄎྛሧӁࡎᆴ֥௹ຬᆴࣉطб২༢ඔٳљ౼minc=ބmaxc=ྛਔбࢠ,ಖުႄೆਔVaRڄགࡎᆴ֥ۀ,קі1 ૄ۱ࢌၞൈ؍གྷࠊ൧ӆᇏਈࡎ֥۬नᆴٳ҃ਈֹؓ؋௹ଽؿഅ֥ሧӁࡎᆴࣉྛڄགܙ,ൈࡗ123456ิԛᄝ൧ӆߌ༯קਈֹܙؿഅᄎྛሧӁࡎp¸R(i)ൈࡗᆴڄག֥ٚمაනਫ਼b789101112ҕॉ໓ང:p¸R(i)ൈࡗ131415161718[1] Sh-iJieDeng,,¸R(i)[J].ൈࡗ,30(3):¸R(i)[2]Chung-LiTseng,-termgenerationasset4valuation:arealoptionsapproach[J].OperationsResearch..2 ؿഅᄎྛሧӁໃটࡎᆴ(൬ၭ)֥ڄགܙؿഅ֥ӮЧݦඔູؽՑӮЧݦඔ,౼2002,50(2):=[3]MarthaAmram&NalinKulatilaka.ᅦົၲ.ൌ௹ಃ[M].,a1=,a3=800;ࠏቆ֥ቋնቋཬКࣘ:ࠏྀ۽ြԛϱഠ,2001.ඌԛ৯౼ູminq=250MW#maxh,q=750MW#h;[4]Խڂ.ࣁವ൧ӆڄགܵ[,].฿ࣃ:฿ࣃն࿐ԛϱଆՑඔ౼N=5000bགྷᄝؓؿഅໃট1d(24ഠ,2001.[5])ᄎྛሧӁໃটࡎᆴ(൬ၭ)ࣉྛڄགܙ,ऎุTransonPowerSystems,2000,15(2):477-482.ඌҕඔބ࠹ෘࢲݔі2b൬۠ರ௹:2004-10-08Ֆі2ᇏ෮ൕ֥ࢲݔॖၛ֤ԛࢲ,ંࠧೂݔቔᆀࡥࢺ:ਾ Ⴄ(1976-),ଳ,Ѱൖ,Ֆ൙৯൧ӆٳ༅࣮b
