闫海滨,钟平安,陈〓娟,徐〓斌,李天成.多维不确定性影响下的水期权交易最优策略研究[J].水电能源科学,2018,36(6):158-161
多维不确定性影响下的水期权交易最优策略研究
Optimal Strategy of Water Option Trading under Influence of Multidimensional Uncertainty
  
DOI:
中文关键词:  不确定性  风险对冲  水期权交易  最优策略
英文关键词:uncertainty  risk hedging  water option  optimal strategy
基金项目:国家重点研发计划(2017YFC0405606);国家自然科学基金项目(51579068)
作者单位
闫海滨,钟平安,陈〓娟,徐〓斌,李天成 河海大学 水文水资源学院 江苏 南京 210098 
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中文摘要:
      为解决来水预测不确定性和水价不确定性给用水户带来的风险对冲问题,引入对冲性的水期权交易模式,建立了以用水户期望收益最大为目标的水期权交易模型,得到了最优的期权交易策略应满足的条件,并利用二分法计算得到了最优的期权交易策略,探究了来水不确定性与水价不确定性对期权交易策略的影响。结果表明,来水预测误差和水价的波动越大,用水户的期望收益越大,最优的期权交易策略能有效降低来水预测不确定性和水价不确定性带来的风险。
英文摘要:
      In order to hedge the risk caused by uncertainty of inflow forecasting and water price, this paper introduced an uncertain decision making model of water option trading. With the objective of maximizing the expected revenue of water users, a water option trading model was established to determine the optimal option strategy. The influences of inflow forecast uncertainty and water price uncertainty on the option trading strategy were explored. The results show that the expected revenue of water users would increase with the variances of inflow forecast error and water price. The optimal strategy options trading can effectively reduce the risk induced by inflow forecast uncertainty and water price uncertainty.
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