Real option based approach for generation investment decision-making and generation capacity adequacy analysis

Dianli Xitong Zidonghua/Automation of Electric Power Systems

Volumn 29, Issue 19, 2005, Pages 1-9

  Wang, Yong ^a   Wen, Fu Shuan ^a,b   Chung, C Y ^c   Wong, K P ^c  

^a ZHEJIANG UNIVERSITY   (China)

^b SOUTH CHINA UNIVERSITY OF TECHNOLOGY   (China)

^c HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

Author keywords

Capacity payment; Electricity market; Energy only market; Generation capacity adequacy; Installed capacity market; Real option

Indexed keywords

ELECTRIC INDUSTRY; MATHEMATICAL MODELS; RISK ASSESSMENT;

CAPACITY PAYMENT; ELECTRICITY MARKET; ENERGY ONLY MARKET; GENERATION CAPACITY ADEQUACY; INSTALLED CAPACITY MARKET; REAL OPTION;

ELECTRIC POWER SYSTEMS;

EID: 27544478351     PISSN: 10001026     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (16)

1. DIXIT A K, PINDYCK R S. Investment Under Uncertainty. Princeton (NJ, USA): Princeton University Press, 1994.
2. CIARAN D, DAVID M. Investment, Expectations and Uncertainty. Oxford (UK): Blackwell Publishers, 1992.
3. YAMAMOTO Y, TEZUKA T. Optimal Investment in Power Plant Under Price Uncertainty. In: Proceedings of the 41st SICE Annual Conference, Vol 2. Osaka (Japan): 2002. 1302-1305.
4. LI Kai-hai, WANG Xu, JIANG Yan. Application of Option Theory in Investment Model of Generation Expansion Planning. Modern Electric Power, 2003, 20(3-4): 129-132.
5. MIN K J, WANG C H. Generation Planning for Inter-related Generation Units: A Real Options Approach. In: Proceedings of 2000 IEEE Power Engineering Society Summer Meeting, Vol 4. Seattle (WA, USA): 2000. 2261-2265.
6. AUDUN B, MAGNUS K. Modeling of Power Generation Investment Incentives Under Uncertainty in Liberalized Electricity Markets. http://www.saee.ch.
7. AUDUN B, MARIJA D I, WANGENSTEEN I. Optimization of Generation Investments Under Uncertainty in Restructured Power Markets. In: Proceedings of Intelligent System Application to Power System. Lemnos (Greece): 2003.
8. WEN Fu-shuan, WU Fu-li, NI Yi-xin. Generation Capacity Adequacy in the Deregulated Electricity Market Environment. Automation of Electric Power Systems, 2002, 26(10): 16-22.
9. ANDREW F. Cycles in Competitive Electricity Markets: A Simulation Study of the Western United States. Energy Policy, 1999, 27(11): 637-658.
10. POONSAENG V, FETTER S, MARIJA D I. Dynamic Investment in Electricity Markets and Its Impact on System Reliability. MIT EL 01-012WP. http://www.mit.edu, 2001.
11. CHUNG S L, HO C W. Pricing American Options Using Monte Carlo Simulation, http://www.ncu.edu.tw.
12. BARRAQUAND J, MARTINEAU D. Numerical Valuation of High Dimensional Multivariate American Securities. Journal of Financial and Quantitative Analysis, 1995, 30(3): 383-405.
13. INKS D M M. A Real Options Approach to Network Expansion, Doctoral Dissertation. Stanford (CA, USA): Stanford University, 2002.
14. ZHOU Hao. Research on Financial Risk of Electricity Price in Electricity Power Market, Doctoral Dissertation. Hangzhou: Zhejiang University, 2004.
15. PJM ISO website. http://www.pjm.com.
16. WANG Yong, ZHONG Zhi-yong, WEN Fu-shuan et al. Determination of Appropriate Price Level in Installed Capacity Market. Automation of Electric Power Systems, 2005, 29(9): 5-10, 71.