Risk assessment of wind power generation project investments based on real options

2009 IEEE Bucharest PowerTech: Innovative Ideas Toward the Electrical Grid of the Future

Volumn , Issue , 2009, Pages

  Munoz J I ^a   Contreras, J ^a   Caamano J ^b   Correia, P F ^c  

^a UNIVERSITY OF CASTILLA LA MANCHA   (Spain)

^b UNIVERSITY OF THE BASQUE COUNTRY UPV EHU   (Spain)

^c INSTITUTO SUPERIOR TÉCNICO   (Portugal)

Author keywords

Monte Carlo; Real options; Risk management; Wind energy

Indexed keywords

DECISION TOOL; DECISION-MAKING METHOD; GEOMETRIC BROWNIAN MOTION; INVESTMENT OPTIONS; MAINTENANCE COST; MARKET PRICE; MEAN REVERSION; MONTE CARLO; NET PRESENT VALUE; REAL OPTIONS; REAL OPTIONS APPROACH; VALUATION METHODS; WEIBULL MODELS; WIND ENERGY; WIND ENERGY PLANTS; WIND REGIME;

BROWNIAN MOVEMENT; DECISION MAKING; ELECTRIC POWER GENERATION; MAINTENANCE; MONTE CARLO METHODS; RISK ANALYSIS; RISK ASSESSMENT; RISK MANAGEMENT; WIND POWER;

INVESTMENTS;

EID: 74949132520     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/PTC.2009.5281848     Document Type: Conference Paper

References (18)

1. G. W. Ault, J. R. McDonald, and G. M. Burt, "Strategic analysis framework for evaluating distributed generation and utility strategies," IEE Proc.-Gener. Transm. Distrib., vol. 150, pp. 475-481, July 2003.
2. W. El-Khattam, K. Bhattacharya, Y. Hegazy, and M. M. A. Salama, "Optimal investment planning for distributed generation in a competitive electricity market," IEEE Trans. Power Syst., vol. 19, pp. 1674-1684, Aug. 2004.
3. H. Khatib, Financial and economic evaluation of projects in the electricity supply industry. Bath: IEE Power Series, 23, 1997.
4. A. Dixit and R. S. Pindyck, Investment under uncertainty. New Jersey: Princeton University Press, 1994.
5. L. Trigeorgis, Real options: Managerial flexibility and strategy in resource allocation. Boston: MIT Press, 1996.
6. C. -L. Tseng and G. Barz, "Short-term generation asset valuation: a real options approach," Oper. Res., vol. 50, no.2, pp. 297-310, 2002.
7. C. -L. Tseng, "Exercising real unit operational options under price uncertainty," in Proc. 2000 IEEE PES Winter Meeting, pp. 436-440, Singapore, 23-27 Jan. 2000.
8. S. -J. Deng and S. S. Oren, "Incorporating operational characteristics and startup costs in option-based valuation of power generation capacity," Probab. Eng. Inform. Sci., vol. 17, no.2, pp. 155-182, 2003.
9. C. -L. Tseng, and K. Y. Lin, "A framework using two-factor price lattices for generation asset valuation," Oper. Res., vol. 55, no.2, pp. 234-251, 2007.
10. P. F. Correia, P. M. S. Carvalho, L. A. F. M. Ferreira, J. Guedes, and J. Sousa, "Power plant multistage investment under market uncertainty," IET -Gener. Transm. Distrib., vol. 2, pp. 149-157, 2008.
11. S. -E. Fleten and E. Näsäkkälä, "Gas-fired power plants: Investment timing, operating flexibility and abandonment," in Proc. Seventh Annual Int. Conf. on Real Options, Washington D.C., 10-12 July 2003.
12. E. Näsäkkälä and S. -E. Fleten, "Flexibility and technology choice in gas fired power plant investments", Rev. Financ. Econ., Special Issue on Real Options, vol. 14, no.3-4, pp. 371-393, 2005.
13. C. -H. Wang and K. J. Min, "Electric power generation planning for interrelated projects: A real options approach," IEEE Trans. Eng. Manag., vol. 53, no.2, pp. 312-322, 2006.
14. S. -E. Fleten, K. M. Maribu, and I. Wangensteen, "Optimal investment strategies in decentralized renewable power generation under uncertainty," Energy, vol. 32, pp. 803-815, 2007.
15. J. Hull J. and A. White, "Numerical procedures for implementing term structure models I: Single-factor models," Journal of Derivatives, vol. 2, no.1, pp. 7-16, 1994.
16. T. S. Y. Ho and S. B. Lee, "Term structure movements and pricing interest rate contingent claims," Journal of Finance, vol. 41, pp. 1011-1029, December 1986.
17. Operador del Mercado Ibérico de Energía - Polo Español, S.A., http://www.omel.es.
18. Royal Decree 661/2007 of the 25th of May, regulating the activity of energy production in a special regime. Available at www.boe.es/boe/dias/2007/05/ 26/pdfs/A22846-22886.pdf (in Spanish).