A Real Options Approach to Forecast Generation Adequacy in Competitive Electric Power Industry

预测竞争性电力行业发电充足性的实物期权方法

• 批准号: 0100186
• 负责人: Chung-Li Tseng
• 金额: $ 18万
• 依托单位: University of Maryland, College Park
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2001
• 资助国家: 美国
• 起止时间: 2001-06-01 至 2004-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0100186&HistoricalAwards=false
• 关键词: Real; Options; Approach; Forecast; Generation

This grant provides funding for developing a methodology to study long-term capacity investment in a competitive electric market. The objective is to study generation adequacy in relationship to the many complex factors in markets, such as load growth, market mechanisms, cost characteristics and physical limits of generating units, environmental policies, and competition. Specifically, three main goals will be targeted: (1) Develop a real-options based, long-term generation asset valuation tool, and use it to evaluate capacity investment decisions. (2) Develop theoretic results to define the "optimal capacity expansion," including the investment timing and the generator's type and size in a well-defined, deregulated environment. (3) Develop a model that simulates generation capacity expansion process in the competitive electric power a model that simulates generation capacity expansion process in the competitive electric power industry, and use the model to study capacity expansion related problems, and forecast generation adequacy and electricity price trend. If successful, given a well-defined market environment, the model will be used to forecast the probability distributions for electricity price and system capacity at each future time period and the probability of blackouts as well. This forecasting model will help to detect unforeseeable problems related to generation adequacy, and to serve as an early warning system.

该赠款为制定一种方法提供资金，以研究竞争性电力市场中的长期容量投资。 其目标是研究发电充足性与市场中许多复杂因素的关系，如负荷增长、市场机制、成本特性和发电机组的物理限制、环境政策和竞争。 具体而言，将有三个主要目标：（1）开发基于实物期权的长期发电资产评估工具，并使用它来评估容量投资决策。(2)开发理论结果来定义“最佳容量扩展”，包括在定义明确的放松管制的环境中的投资时机和发电机的类型和大小。 (3)建立了竞争性电力行业发电容量扩展过程的仿真模型，并利用该模型研究了容量扩展的相关问题，预测了发电充裕度和电价趋势。 如果成功的话，给定一个定义明确的市场环境，该模型将被用来预测未来每个时间段的电价和系统容量的概率分布以及停电的概率。 该预测模型将有助于发现与发电充足性有关的不可预见的问题，并作为一个早期预警系统。