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首页> 外文期刊>Journal of uncertain systems >Managing Water Supply Risk through an Option Contract in Uncertain Environment
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Managing Water Supply Risk through an Option Contract in Uncertain Environment

机译：在不确定环境中通过期权合同管理供水风险

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摘要

Managing water supply risk in uncertain environment is becoming more and more important to watei users with the rapid development of social economy. However, since mature water market has not beei established in China, water price is highly influenced by human objective uncertainties. In consideratioi of human uncertainties and jumps in water price, a model of water option pricing based on the theorj of uncertain jump process should be a more appropriate choice. In this paper, uncertain jump process is defined more generally and integral and differential with respect to this process are proposed. Then b supposing water price is driven by an uncertain jump process whose right-continuous pure jump part is determined by an uncertain renewal reward process, an exotic water option is designed which allows th< holders to decide how much water to buy at the expiration date at an agreed price. A pricing formulf for this water option contract is derived by using the operational law of uncertain variables. Finally, numerical example is described.
机译：随着社会经济的快速发展，在不确定的环境中管理供水风险对无水用户越来越重要。但是，由于中国尚未建立成熟的水市场，因此水价受到人类客观不确定性的高度影响。考虑到人为因素的不确定性和水价的上涨，基于不确定上涨过程理论的水价期权定价模型应该是比较合适的选择。在本文中，不确定跳变过程被更一般地定义，并且针对该过程提出了积分和微分。然后b假设水价是由不确定的跳跃过程驱动的，而不确定的跳跃过程的右连续连续纯跳跃部分是由不确定的续签奖励过程确定的，则设计了一种奇特的水选择权，允许持有人决定在到期日购买多少水以约定的价格。通过使用不确定变量的操作定律得出此水期权合同的定价形式。最后，描述了数值示例。

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