A water resource risk hedging method based on water option trading

A technology of water resources and water options, applied in the field of water resources management, can solve problems such as complex decision-making

Inactive Publication Date: 2019-02-05
HOHAI UNIV
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Problems solved by technology

However, due to the uncertainty of the local water production in the water receiving area and the fluctuation of the price of externally transferred water, this simple decision becomes complicated, and water users will face huge risks of water shortage and high water price. How to determine the amount of contracted externally transferred water It is a hedging strategy problem. The existing water resource management methods lack comprehensive consideration of the uncertainty of water forecast and water price uncertainty.

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  • A water resource risk hedging method based on water option trading
  • A water resource risk hedging method based on water option trading
  • A water resource risk hedging method based on water option trading

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Embodiment Construction

[0067] In order to make the purpose, technical solution and advantages of the present invention clearer, the technical solution of the present invention will be described in detail below in conjunction with the drawings and specific embodiments. It should be understood that the specific embodiments described here are only used to explain the present invention, not to limit the present invention.

[0068] The purpose of the present invention is to establish a water resource risk hedging method based on water option trading. Including: building a two-stage water option trading decision-making model; determining the contracted water purchase volume and determining the water shortage distribution according to the water inflow forecast error distribution in the water receiving area; using the historical water price data in the spot market to determine the water price distribution in the spot market; The expected cost of the transaction method and not buying options, the expected co...

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Abstract

The invention discloses a water resource risk hedging method based on water option trading, which comprises the following steps: constructing a two-stage water option trading decision model; Determinethe absolute error distribution of incoming water forecast in the water receiving area; According to the absolute error distribution of incoming water forecast in the water receiving area, the distribution of contracted water purchase quantity and water shortage quantity is determined. Using the historical data of water price in spot market, the distribution of water price in spot market is determined. By comparing the expected cost of option trading with the expected cost of water shortage purchased from spot market, a water resources risk hedging model is established to maximize the expected income of water users. A risk hedging model of water resources is solved. The invention can not only help the water users in the water receiving area to resist the water shortage risk caused by thewater incoming uncertainty of the water receiving area, but also effectively reduce the high water price risk caused by the fluctuation of the water price in the spot market.

Description

technical field [0001] The invention relates to the field of water resource management, in particular to a water resource risk hedging method based on water option trading. Background technique [0002] Water is the source of life, the key to production, and the foundation of ecology. It is an irreplaceable basic natural resource and strategic resource that maintains social and economic development and social progress. However, water resources are unevenly distributed in the world, among countries and between different regions within countries. [0003] In order to alleviate the uneven distribution of water resources in time and space, as well as the increasing demand for water resources in economic development, people's production, and daily life, many countries and regions have to build long-distance water transfer projects across river basins or regions to effectively relieve regional water pollution. water stress and improve local economic development. Long-distance wa...

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/04G06Q50/06
CPCG06Q40/04G06Q10/0635G06Q50/06
Inventor 钟平安闫海滨陈娟吴业楠朱非林李天成高益辉严梦佳李映辉李洁玉
Owner HOHAI UNIV
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