Compound real options valuation of renewable energy projects: The case of a wind farm in Serbia
Compound real options valuation of renewable energy projects: The case of a wind farm in Serbia
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DOI：
10.1016/j.rser.2016.11.001
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发表时间：
2017-08
影响因子：
15.9
通讯作者：
D. Lončar;Ivan Milovanovic;B. Rakić;Tamara Radjenović
中科院分区：
文献类型：
--
作者：
D. Lončar;Ivan Milovanovic;B. Rakić;Tamara Radjenović
由于环境和可持续性问题，可再生能源已成为一个非常重要的问题。此外，大多数可再生能源发电（RES-E）项目的特点是相当大的不确定性和顺序决策。这些项目的净现值（NPV）往往接近于零，这使他们成为一个很好的候选人，应用真实的期权估值方法的投资项目评估。本文探讨了真实的期权估值的潜在陆上风电场项目在塞尔维亚。二叉树模型涵盖15年期，包括2年投资期和13年运营期，其中前12年根据当地可再生能源法规受上网电价保护。研究了一个多阶段的复合（嵌套）路径依赖的真实的期权，它由互斥的期权组成--一个连续的投资期权以及扩张、再授权、收缩和放弃期权。波动性，这是通过蒙特卡洛模拟计算的方法，根据的风险现值回报的方法，显示出突出的敏感性与重新缩放的威布尔概率分布模拟的容量因子。最后的二叉树结果表明，所提出的期权序列通过将初始贴现现金流模型中的较高风险和较低回报转化为RO模型中的较低风险和较高回报，从而增加了项目价值。它对RES-E项目的真实的期权应用进行了深入的分析，并为决策者提供了改进战略思维的先进工具，资本预算和决策过程。
Renewable energy sources have become a very important issue due to environmental and sustainability concerns. In addition, most renewable energy electricity generation (RES-E) projects are characterized by considerable uncertainty and sequential decision-making. These projects’ net present value (NPV) is very often close to zero, which renders them a good candidate for the application of real options valuation methodology of investment project appraisal.This paper examines the real options valuation of a potential onshore wind farm project in Serbia. The binomial tree model spans a 15 year period consisting of a 2 year investment period and a 13 year operating period, the first 12 years of which are protected by Feed-in-Tariffs according to local renewable energy regulations. The authors examine a multi-phased compound (nested) path-dependent real option consisting of mutually exclusive options - a sequential option to invest as well as expand, repower, contract and abandon options. Volatility, which is calculated by means of a Monte Carlo simulation according to the logarithmic-present-value-returns approach, shows predominant sensitivity to the capacity factor simulated with the rescaled Weibull's probability distribution. The final binomial tree results show that the proposed sequence of options increases project value by transforming higher risk and lower return in the initial discounted cash flow model, to lower risk and higher return in the RO model.This paper contributes to the existing literature in at least two ways: it presents in-depth analysis of the real option application to the RES-E project and provides decision-makers with sophisticated tool for improving strategic thinking, capital budgeting and decision-making processes.