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    Title: 電力選擇權價格之決定 : 北歐各國之比較
    Other Titles: The price determination of power options : the power market comparisons among nordic Europeans
    Authors: 許志榮;Hsu, Chih-jung
    Contributors: 淡江大學經濟學系碩士班
    廖惠珠;Liao, Huei-chu
    Keywords: 均數復歸;電力選擇權;跳躍擴散;蒙地卡羅模擬;the Nordic power market;electricity liberalization;power options
    Date: 2006
    Issue Date: 2010-01-11 02:12:22 (UTC+8)
    Abstract: 電業自由化一向被認為是有效率運作的良方,故也自然成為當前全球的必然趨勢,而為了規避自由化後高度波動電價之風險,各類電力衍生性商品亦相繼蓬勃發展。

    現今全球不同區域間之電力市場大多互相獨立。不過北歐電力交易所則為一具跨國性質之電力市場,其跨區域電力市場整合之成功發展模式,一直是世界各國學習的目標,因此本文深覺若能分析探討北歐四國之電力發展歷程,將使台灣電業收到以史為鏡之效。

    本研究選用挪威、丹麥、瑞典及芬蘭之電價小時資料進行分析。其中由於挪威與瑞典之離峰電價並無均數復歸之現象,故僅將丹麥與芬蘭之電價資料分為尖離峰兩種時段,求得各國之選擇權模擬價格,並對模擬之結果進行比較與分析。實證發現,挪威的電力市場較他國穩定,跳躍頻率及波動幅度皆較小。這可能是因為挪威主要以水力發電來供給所需,使其電價較為低廉平穩。而丹麥選擇權模擬價格較他國為高,可能原因為丹麥的電力市場較不穩定,以及丹麥以火力發電為主,成本高使得其電價相對亦較高,以致選擇權模擬價格亦高於他國。另外也可發現離峰時段模擬價格非常低,原因為離峰時段跳躍頻率與幅度皆非常小,電價波動風險低,自然選擇權模擬價格不高。
    Electricity liberalization is the international trend. This trend creates the development environment for power derivatives, which developed extremely fast recently.

    The different area power markets are usually mutually independent. But Nordpool is a transnational power market. This success development experience for associate with transnational electric power market is worth studying. Therefore, we want to investigate the Nordic power market, and discover its successful reason.

    This article uses the hourly power price of Nordic power market to investigable the problem of power options. Since the off peak electrovalence in Norway and Sweden do not have mean reversion phenomenon, we only consider the off peak for Denmark and Finland, but peak hours for all four countries. The result of our research shows:the electricity market is more stable in Norway. The reason is Norway producing electric power by the hydropower primarily. The power option simulation price is highest in Denmark. The reason is electricity market not stable in Denmark. And Denmark produces electric power by the thermo primarily.
    Appears in Collections:[經濟學系暨研究所] 學位論文

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