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《Journal of Shanghai Jiaotong University》 2005-S1
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Study on a New Risk-Avoid Model of Generators

MA Xin1, HOU Zhi-jian2, JIANG Chuan-wen2(1. Research Center of Fictitious Economic and Management, Nankai Univ.,Tianjin 300071, China;2. Dept. of Electrical Eng., Shanghai Jiaotong Univ., Shanghai 200240)  
In deregulation markets, the variety of electricity price is more drastic and complex than those in regulation industry. Generators will face market risks in energy market and electricity market at the same time. A cross-commodity spread was constructed between energy market and electricity market, on this basis, a risk-avoid model was designed by incorporating swing options. This model is flexible and easy to realize. Generators can efficiently avoid market risks by using this model.
【Fund】: 国家自然科学基金资助项目(50079006)
【CateGory Index】: F407.61
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