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基于金融工程理论的电价随机模型对于竞争性电力市场中的电力衍生产品定价、风险管理、资产定价及不确定条件下的投资决策等具有基础意义。文中提出了基于仿射跳跃-扩散过程的、具有2个和3个跳跃分量的电价随机模型以及一种新的参数标定方法。所提出的近似参数标定方法可利用历史电价数据快速求解模型参数,且计算量与电价样本点数量无关。由于直接根据历史电价的数字特征求解,不存在误差累积的问题。根据法国Powernext、德国EEX和荷兰APX等3 个主要欧洲电力市场的历史日前小时电价数据标定了模型参数并采用Monte Carlo方法分析了模型的模拟效果。计算表明,文中提出的电价随机模型能够较为准确地描述电价的整体概率分布,满足进一步研究的需要。
The stochastic electricity price model based on financial engineering theory is of fundamental significance to the pricing of electricity derivative products in competitive electricity market, risk management, asset pricing and investment decision under uncertain conditions. In this paper, a price stochastic model with two and three hopping components based on affine jump-diffusion process and a new parameter calibration method are proposed. The proposed approximate parameter calibration method can use the historical price data to solve the model parameters quickly, and the amount of calculation has nothing to do with the number of sample points. Due to the direct characterization of historical electricity prices, there is no problem of cumulative errors. Based on the historical hourly electricity price data of three major European electricity markets, such as France Powernext, Germany EEX and Netherlands APX, the model parameters are calibrated and the simulation results of the model are analyzed by Monte Carlo method. The calculation shows that the stochastic model proposed in this paper can describe the overall probability distribution of electricity prices more accurately and meet the needs of further research.