电力衍生品市场是电力市场发展的必然产物,根据奇异期权中的路径依赖型期权的思想,设计出电力奇异期权;并具体运用二叉树模型对电力美式回望看跌期权为例进行估值;得出这种期权可以在一定程度上避免标的资产的价格无限制的上涨与下跌,防止过多投机行为的出现,维护电力市场秩序。 Electricity derivatives market is the inevitable result of the development of power market. According to the idea of ​​path-dependent option in exotic options, the power singularity option is designed. And the dichotomous tree model is used to estimate the power American look-ahead put option. To some extent, this option can avoid the unlimited increase and decrease of the price of underlying assets, prevent the emergence of excessive speculation and maintain the order of power market.