Integrating Real Options Analysis with long-term electricity market models
Integrating Real Options Analysis with long-term electricity market models
复制标题
将实物期权分析与长期电力市场模型相结合
DOI：
10.1016/j.eneco.2018.12.023
复制
发表时间：
2019
期刊：
影响因子：
12.8
通讯作者：
Olsina
中科院分区：
文献类型：
--
作者：
Festner;Blanco;Olsina
在自由化的电力市场中，投资推迟选项被认为对于了解新增发电能力具有决定性作用。基本上，它是指投资者在等待有关市场演变的新的、更好的信息到来时推迟项目一段时间的可能性。当此类开发存在重大不确定性时，发电业务风险较大，投资者的“观望”行为可能会限制新电厂的及时投产。从这个意义上说，文献为解除管制的电力行业中建设周期的发生提供了坚实的经验证据。然而，推迟新建发电厂的选择所固有的战略灵活性尚未严格纳入现有市场模式的投资信号中。因此，本文提出了一种基于更现实的发电投资估值方法来评估自由化电力市场长期发展的新方法。这项工作基于随机动态市场模型，建立在系统动力学模拟方法的基础上。决策框架认为，新增产能是由与不确定性下推迟投资相关的战略灵活性的经济价值驱动的。因此，推迟期权的价值通过实物期权分析以货币形式量化。正如文献中的经验证据所表明的那样，模拟证实了纯能源市场从长远来看的周期性行为。此外，对一些相关外生变量的敏感性分析显示，由于强劲的需求增长率与较大的波动性相结合，产能的演变更加波动。最后，根据系统动力学建模方法的范围，通过正式程序评估模型的有效性。
In liberalized electricity markets, the investment postponement option is deemed decisive for understanding the addition of new generating capacity. Basically, it refers to the possibility for investors to postpone projects for a period while waiting for the arrival of new and better information about the market evolution. When such development involves major uncertainties, the generation business becomes riskier, and the investors' “wait-and-see” behavior might limit the timely addition of new power plants. In that sense, the literature provides solid empirical evidence about the occurrence of construction cycles in the deregulated electricity industry. However, the strategic flexibility inherent to the option to defer new power plants has not yet been rigorously incorporated to investment signals in existing market models. Therefore, this paper proposes a novel methodology to assess the long-term development of liberalized power markets based on a more realistic approach for valuing generation investments. The work is based on a stochastic dynamic market model, built upon System Dynamics simulation approach. The decision-making framework considers that the addition of new capacity is driven by the economic value of the strategic flexibility associated with deferring investments under uncertainties. Thus, the value of the postponement option is quantified in monetary terms through Real Options Analysis. Simulations confirm the cyclical behavior of the energy-only market in the long run, as suggested by the empirical evidence found in the literature. In addition, sensitivity analysis regarding some relevant exogenous variables depicts an even more fluctuating evolution of the capacity due to the combination of strong demand growth rates with large volatilities. Finally, the model validity is assessed through a formal procedure according to the scope of System Dynamics modeling approach.
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DOI：
10.1109/pes.2010.5589365
发表时间：
2010-07
期刊：
IEEE PES General Meeting
影响因子：
--
作者：
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通讯作者：
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影响因子：
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影响因子：
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作者：
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通讯作者：
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DOI：
10.1109/tpas.1982.317321
发表时间：
1982
期刊：
IEEE Transactions on Power Apparatus and Systems
影响因子：
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作者：
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通讯作者：
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DOI：
10.1109/eem.2016.7521264
发表时间：
2016
期刊：
2016 13th International Conference on the European Energy Market (EEM)
影响因子：
--
作者：
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