Short-Term Generation Asset Valuation: A Real Options Approach
Short-Term Generation Asset Valuation: A Real Options Approach
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DOI：
10.1287/opre.50.2.297.429
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发表时间：
2002-03
期刊：
影响因子：
--
通讯作者：
C. Tseng;G. Barz
中科院分区：
文献类型：
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作者：
C. Tseng;G. Barz
本文讨论了使用实物期权对短期内具有机组承诺约束的发电厂进行估值。我们将该问题表述为多阶段随机问题，并提出了一种将前向蒙特卡罗模拟与后向动态规划相结合的解决方案。我们假设发电厂运营商通过每小时决定是否运行机组来最大化预期利润，启动和关闭机组需要一定的承诺和退役决策提前时间，并且这些承诺决策一旦做出，就会受到物理约束，例如最短正常运行时间和停机时间。我们还考虑了与启动和关闭设备相关的成本。最后，我们假设发电机使用的电力和燃料都存在每小时市场，并且它们的价格遵循伊藤流程。通过数值模拟，我们表明，不考虑物理约束可能会严重高估发电厂的价值。
This paper discusses using real options to value power plants with unit commitment constraints over a short-term period. We formulate the problem as a multistage stochastic problem and propose a solution procedure that integrates forward-moving Monte Carlo simulation with backward-moving dynamic programming. We assume that the power plant operator maximizes expected profit by deciding in each hour whether or not to run the unit, that a certain lead time for commitment and decommitment decisions is necessary to start up and shut down a unit, and that these commitment decisions, once made, are subject to physical constraints such as minimum uptime and downtime. We also account for the costs associated with starting up and shutting down a unit. Last, we assume that there are hourly markets for both electricity and the fuel used by the generator and that their prices follow Ito processes. Using numerical simulation, we show that failure to consider physical constraints may significantly overvalue a power plant.