Black-Scholes option pricing strategy and risk-averse coordination for designing vehicle-to-grid reserve contracts
Black-Scholes option pricing strategy and risk-averse coordination for designing vehicle-to-grid reserve contracts
复制标题
用于设计车辆到电网储备合同的 Black-Scholes 期权定价策略和风险规避协调
DOI：
10.1016/j.energy.2017.06.078
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发表时间：
2017-10
期刊：
影响因子：
9
通讯作者：
Shanjun Li
中科院分区：
文献类型：
--
作者：
Shoujun Huang;Jun Yang;Shanjun Li
基于条件风险价值准则和备电市场的交易特征，建立了风险中性电网公司的期权定价策略，并构建了风险厌恶型电动汽车用户在期权实施前后的备电模型。然后，期权，售电价格和风险厌恶的变化对反馈均衡策略和最优利润的影响进行了比较分析之间的Stackelberg博弈和合作博弈。研究结果表明，单纯采用保护性市场定价机制确定合同价格，将车联网交易的风险全部转嫁给电网公司，在市场环境恶劣的情况下，机会主义行为难以防范。针对这一问题，电网公司可以通过购买期权来缓解电价波动风险，并通过“Black-Scholes期权定价+备用合作+存款”的联合契约进一步强化合作体系，实现渠道双方最优利润的帕累托改进。最后，推导了均衡状态下车网备用合作系数、交易存款和电力合同价格之间的解析关系，并通过3个算例验证了模型和理论分析的可行性。
Based on the conditional value-at-risk criterion and trading characteristics of the vehicle-to-grid reserve market, this paper establishes an option pricing strategy for a risk-neutral grid company, and builds two electricity reserve models for a risk-averse electric vehicle user before and after options implementation. Then, the impact of options, electricity selling price and risk aversion changes on feedback equilibrium strategies and optimal profits are comparatively analyzed between a Stackelberg game and a cooperative game. The results demonstrate that simply using protective market pricing mechanism to determine the contract price places all of the vehicle-to-grid market's trading risk onto the grid company, so that opportunistic behavior cannot be prevented in bad market conditions. To address this, the grid company can buy options to mitigate the risk of price fluctuations; the cooperation system can be further enhanced through a “Black-Scholes option pricing + reserve cooperation + deposit” joint contract, which achieves Pareto improvements of the optimal profits on both sides of the channel. Finally, the analytical relations among the vehicle-to-grid reserve's cooperation coefficient, trade deposit, and electricity contract price in equilibrium are derived, and the feasibility of the proposed models and theoretical analyses is verified by three numerical examples.
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影响因子：
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作者：
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通讯作者：
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DOI：
10.1109/pesgm.2014.6939434
发表时间：
2014-07
期刊：
2014 IEEE PES General Meeting | Conference & Exposition
影响因子：
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