Designing regulatory frameworks for merchant transmission investments by real options analysis

Energy Policy

Volumn 67, Issue , 2014, Pages 272-280

  Pringles, Rolando ^a,b   Olsina, Fernando ^a,b   Garcés, Francisco ^a,b  

^a National Scientific and Technical Research Council ^*  (Argentina)

^b UNIVERSIDAD NACIONAL DE SAN JUAN   (Argentina)

Author keywords

Flexibility; Irreversibility; Planning; Power network; Regulation; Uncertainty

Indexed keywords

EID: 84893828257     PISSN: 03014215     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.enpol.2013.12.034     Document Type: Article

References (24)

1. Billinton R., Allan R. Reliability Evaluation of Power Systems 1996, Plenum Press, New York.
2. Black F., Scholes M. The pricing of options and corporate liabilities. J. Polit. Econ. 1973, 81(3):637-654.
3. Blanco, G., Pringles, R., Olsina, F., Garcés, F., 2009. Valuing a flexible regulatory framework for transmission expansion investments. In: IEEE Bucharest Power Tech Conference, Jun. 28-Jul. 2, Bucharest, Rumania.
4. Blanco G., Olsina F., Garcés F., Rehtanz C. Real option valuation of FACTS investments based on the least square Monte Carlo method. IEEE Trans. Power Syst. 2011, 26(3):1389-1398.
5. Cox J., Ross S., Rubinstein M. Option pricing: a simplified approach. J. Financ. Econ. 1979, 7:229-264.
6. Dixit A.C., Pindyck R.S. Investment Under Uncertainty 1994, Princeton University Press, Princeton.
7. Feinstein S.P., Lander D.M. A better understanding of why NPV undervalues managerial flexibility. Eng. Econ. 2002, 47(4):418-435.
8. Hogan W., Rosellón J., Vogelsang I. Toward a combined merchant-regulatory mechanism for electricity transmission expansion. J. Regul. Econ. 2010, 38(2):113-143.
9. Joskow P., Tirole J. Merchant transmission investment. J. Ind. Econ. 2005, 53(2):233-264.
10. Keswani A., Shackleton M.B. How real option disinvestment flexibility augments project NPV. Eur. J. Oper. Res. 2006, 168(1):240-252.
11. Littlechild S. Transmission regulation, merchant investment, and the experience of SNI and Murray link in the Australian National Electricity Market. Mimeo 2003, 2003. http://www.ksg.harvard.edu.
12. Longstaff F.A., Schwartz E.S. Valuing American options by simulation: a simple least squares approach. Rev. Financ. Stud. 2001, 14(1):113-147.
13. Marathe R., Ryan S. On the validity of the geometric Brownian motion assumption. Eng. Econ. 2005, 50(2):159-192.
14. Martzoukos S., Trigeorgis L. Real (investment) options with multiple sources of rare events. Eur. J. Oper. Res. 2002, 136:696-706.
15. Miller L.T., Park C.S. Decision making under uncertainty-real options to the rescue?. Eng. Econ. 2002, 47(2):105-150.
16. Myers S.C. Finance theory and financial strategy. Interfaces 1984, 14(1):126-137.
17. Pérez-Arriaga J.I., Rubio F.J., Puerta J.F., Arceluz J., Marin J. Marginal pricing of transmission services: an analysis of cost recovery. IEEE Trans. Power Syst. 1995, 10(1):546-553.
18. Pringles, R., Olsina, F., Garcés, F., 2007. Real Options in Evaluating Investments in Competitive Electricity Markets - State of the Art (in Spanish), XII ERIAC - CIGRÉ, Foz do Iguazú, Brazil, 27-30 May.
19. Rosellón J. Different approaches towards electricity transmission expansion. Rev. Network Econ. 2003, 2(3):238-269.
20. Schwartz E.S., Trigeorgis L. Real Options and Investment Under Uncertainty: Classical Readings and Recent Contributions 2004, MIT Press, Cambridge, Massachusetts.
21. Trigeorgis L. Real Options: Managerial Flexibility and Strategy in Resource Allocation 1996, MIT Press, Cambridge, Massachusetts.
22. Vazquez, P., Olsina, F., 2007. Valuing flexibility of DG investments in transmission expansion planning. In: Power Tech Proceedings, 2007 IEEE Switzerland, 1-6.
23. Wijnia, Y.C. Herder, P.M., 2005. Options for real options: dealing with uncertainty in investment decisions for electricity networks. In: IEEE International Conference on Systems, Man and Cybernetics, 4, 3682-3688.
24. Wu F.F., Zheng F.L., Wen F.S. Transmission investment and expansion planning in a restructured electricity market. Energy 2006, 31:954-966.