电网技术
電網技術
전망기술
POWER SYSTEM TECHNOLOGY
2012年
1期
230-236
,共7页
实物期权定价%柔性输电投资%最小二乘蒙特卡洛%模拟方法
實物期權定價%柔性輸電投資%最小二乘矇特卡洛%模擬方法
실물기권정개%유성수전투자%최소이승몽특잡락%모의방법
real options pricing%flexible transmissioninvestment%least squares Monte Carlo simulation method
输电系统投资面临很多潜在的市场风险,这对投资者决策的灵活性提出了较高的要求。考虑输电投资的不确定因素,引入柔性输电装置投资方案,应用最小二乘蒙特卡洛模拟方法建立了投资期权估值模型,在此基础上,建立了优先投资柔性输电装置、优先投资输电线路和同时投资柔性输电装置和输电线路3种方案的期权价值模型,并以社会收益最大化为决策准则,通过Garver一6节点系统及IEEE一24节点系统对方法及模型进行验证。
輸電繫統投資麵臨很多潛在的市場風險,這對投資者決策的靈活性提齣瞭較高的要求。攷慮輸電投資的不確定因素,引入柔性輸電裝置投資方案,應用最小二乘矇特卡洛模擬方法建立瞭投資期權估值模型,在此基礎上,建立瞭優先投資柔性輸電裝置、優先投資輸電線路和同時投資柔性輸電裝置和輸電線路3種方案的期權價值模型,併以社會收益最大化為決策準則,通過Garver一6節點繫統及IEEE一24節點繫統對方法及模型進行驗證。
수전계통투자면림흔다잠재적시장풍험,저대투자자결책적령활성제출료교고적요구。고필수전투자적불학정인소,인입유성수전장치투자방안,응용최소이승몽특잡락모의방법건립료투자기권고치모형,재차기출상,건립료우선투자유성수전장치、우선투자수전선로화동시투자유성수전장치화수전선로3충방안적기권개치모형,병이사회수익최대화위결책준칙,통과Garver일6절점계통급IEEE일24절점계통대방법급모형진행험증。
Transmission network investment is faced with many potential market risks, so it makes higher damnd on the flexibility of investors' decision-making. Considering uncertain factors in the investment for power transmission, a flexible investment project in led in, and by use of least squares Monte Carlo simulation a valuation model for investment options is built. On this basis, three kinds of option value models for investment priority of flexible transmission equipments, investment priority of transmisson lines and simultaneous investment for both flexible transmission equipments and transmisson lines are built, and taking the maximum social benefit as decision rule, the proposed method and models are verified by Garver 6-bus system and 1EEE 24-bus system.