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论文

基于B-S期权定价模型的V2G备用合约协调机制研究

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  • 1. 重庆大学经济与工商管理学院, 重庆 400030;
    2. 重庆大学能源技术经济研究院, 重庆 400030

收稿日期: 2015-06-17

  修回日期: 2016-02-19

  网络出版日期: 2016-12-27

基金资助

国家自然科学基金重点资助项目(71133007);国家自然科学基金资助项目(71373297)

Coordination Mechanism of V2G Reserve Contract Based on B-S Option Pricing Model

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  • 1. School of Economics and Business Administration, Chongqing University, Chongqing 400030, China;
    2. Academy of Energy Technologic Economics, Chongqing University, Chongqing 400030, China

Received date: 2015-06-17

  Revised date: 2016-02-19

  Online published: 2016-12-27

摘要

基于V2G备用市场的风险中性交易特点及实践中常用的“保底收购,随行就市”合约价格机制,构建了电网公司实施期权进行套期保值前后的电动汽车用户电量预留决策模型,并对比分析了Stackelberg博弈和合作博弈下渠道双方的反馈均衡策略与最优收益。研究结果表明:仅简单地采用市场保护性的合约价格机制,将使得V2G备用市场的交易风险完全由电网公司来承担,从而无法防止其在市场行情不好时的机会主义行为;在此基础上,电网公司选择购买期权以规避由V2G备用市场价格波动所带来的风险,但是分散决策时的均衡收益小于集中决策最优收益。为此,进一步引入“B-S期权定价+预留协作+保证金”契约机制使得合作系统达到完美协调,且渠道双方的期望收益都得到Pareto改进,并给出了均衡时的V2G备用预留协作系数、交易保证金以及合约电价之间满足的解析关系。算例分析结果验证了本文提出的模型与理论分析的可行性。

本文引用格式

黄守军, 杨俊, 陈其安 . 基于B-S期权定价模型的V2G备用合约协调机制研究[J]. 中国管理科学, 2016 , 24(10) : 10 -21 . DOI: 10.16381/j.cnki.issn1003-207x.2016.10.002

Abstract

Based on the risk-neutral transaction characteristics of V2G reserve market and common contract price mechanism of "buying price floor protected,price fluctuation in line with market conditions" in practice,the electric vehicle user's reserved electricity decision models before and after the grid corporation implementing option to hedge are constructed. The feedback equilibrium strategies and optimal benefits in Stackelberg game and cooperative game are comparatively analyzed. The results indicate that only simply adopting protective contract price mechanism makes the grid corporation undertake full transaction risk in V2G reserve market,thereby cannot prevent opportunistic behavior when the market quotation is not good. On this basis,the grid corporation chooses to purchase option for avoiding the risks brought by V2G market price fluctuations,but the equilibrium profit in decentralized decision is less than the optimal profit in integrated decision. For this,the perfect coordination of the cooperation system,and the Pareto improvement of both channel sides' expected profits are further achieved by introducing the contract mechanism of "B-S option pricing,reservation collaboration and margin". The analytical relationships among the equilibrium reservation collaboration coefficient of V2G reserve,transaction margin and contract electricity price are developed,and the results of numerical analysis verify the feasibility of the proposed models and the theoretical analysis.

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