限價與非限價電力選擇權評估之比較—以加州為例

An Comparison for Power Price Evaluate with and without Price Cap－ the Case of California.

呂慧蘭(Heui-Lan Lu)

指導教授 ： 廖惠珠

淡江大學/商學院/產業經濟學系碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00343

摘要

在國際風潮下，我國電力自由化已不可避免，因此規避自由化所帶來之電力風險便顯得十分重要。電力衍生性商品是規避風險的一個好工具，但是文獻很少談及價格異常下之電力衍生性商品的狀況。國外經驗顯示，電力管制解除之際，確實存在一段時間的價格異常。本文擬探討價格異常下，電力衍生性商品是否依然可規避風險。

有鑒於電力自由化如箭在弦，本文採用電力開放市場中，最受全球矚目的加州市場為例，並引用其歷年（2001年1月1日至2004年12月31日）每小時電價為樣本，說明限價與非限價，以及考慮加入消費量與不考慮加入消費量，對選擇權定價的影響。

本研究將資料分析期間區分為限價$150/MWh、限價$91.87/MWh與非限價等三階段。研究結果顯示，在限價下，考慮電力消費之限制後，可得取較高之模擬選擇權價格。另外如果再加入限價因子則選擇權價格會較低，這樣的現象顯示限價因子可以降低風險，並影響選擇權價格。而我們亦觀察到限價時期的選擇權價格低於非限價時的選擇權價格，那是因為加入限制價格後，價格被限制在有限的區域內跳動，故電力價格起伏小，選擇權價格亦較小。

關鍵字

電力自由化 ； 選擇權價格 ； 限價

並列摘要

Under the international trend, the electricity liberalization in Taiwan is unavoidable. Therefore, it is important to avoid the possible risk resulted from the power market liberalization. Power derivatives is a good tool of avoiding risk is the power market, but less literature mentioned the power derivatives under unusual price. Foreign experience shows there is indeed a period of unusual power price at lifting the regulation of power. This article is going to explore whether power derivatives still can avoid risk under unusual power price.

Because the liberalization of power is going to happen in Taiwan, this article adopts the case in California which is the most famous case is the literature of power liberalization. This study uses the power price of per hour in past (1, January, 2001 to 31, December, 2004) in California as sample to explain what does the value of option influence with and without price cap, as well as with and without power consumption.

This research divides the data’s analyzing period into three steps, price cap $150/MWh, price cap $91.87/MWh, and no price cap. The result of research shows that under price cap, we can get higher option value after considering the limit of power expenditure. In addition, the value of option will be lower if we add the factor of price cap to consider the limit of power expenditure under price cap. The phenomenon expresses the factor of price cap can lower risk and affect option price. We also find the value of option of price cap is lower than it of no price cap. That is because the price is restricted in limited area to fluctuate after adding price cap, the wave of power price is light, and the value of option is also less.

並列關鍵字

electricity liberalization ； the value of option ； price cap

參考文獻

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