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Short-Term Generation Asset Valuation: A Real Options Approach

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Cited by:

  1. Hervé-Mignucci, Morgan, 2011. "Rôle du signal prix du carbone sur les décisions d'investissement des entreprises," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/8200 edited by Keppler, Jan Horst.
  2. Bastian Felix & Oliver Woll & Christoph Weber, 2013. "Gas storage valuation under limited market liquidity: an application in Germany," The European Journal of Finance, Taylor & Francis Journals, vol. 19(7-8), pages 715-733, September.
  3. Orvika Rosnes, 2014. "Subsidies for renewable energy in inflexible power markets," Journal of Regulatory Economics, Springer, vol. 46(3), pages 318-343, December.
  4. Anna Maria Gambaro & Nicola Secomandi, 2021. "A Discussion of Non‐Gaussian Price Processes for Energy and Commodity Operations," Production and Operations Management, Production and Operations Management Society, vol. 30(1), pages 47-67, January.
  5. J. Muñoz & J. Contreras & J. Caamaño & P. Correia, 2011. "A decision-making tool for project investments based on real options: the case of wind power generation," Annals of Operations Research, Springer, vol. 186(1), pages 465-490, June.
  6. Simshauser, Paul, 2020. "Merchant renewables and the valuation of peaking plant in energy-only markets," Energy Economics, Elsevier, vol. 91(C).
  7. Rubin, Ofir D. & Babcock, Bruce A., 2011. "A novel approach for modeling deregulated electricity markets," Energy Policy, Elsevier, vol. 39(5), pages 2711-2721, May.
  8. Fuss, Sabine & Johansson, Daniel J.A. & Szolgayova, Jana & Obersteiner, Michael, 2009. "Impact of climate policy uncertainty on the adoption of electricity generating technologies," Energy Policy, Elsevier, vol. 37(2), pages 733-743, February.
  9. Deng, S.J. & Oren, S.S., 2006. "Electricity derivatives and risk management," Energy, Elsevier, vol. 31(6), pages 940-953.
  10. Ernstsen, Rune Ramsdal & Boomsma, Trine Krogh, 2018. "Valuation of power plants," European Journal of Operational Research, Elsevier, vol. 266(3), pages 1153-1174.
  11. Tseng, Chung-Li & Zhu, Wei & Dmitriev, Alexandre, 2009. "Variable capacity utilization, ambient temperature shocks and generation asset valuation," Energy Economics, Elsevier, vol. 31(6), pages 888-896, November.
  12. Takashima, Ryuta & Goto, Makoto & Kimura, Hiroshi & Madarame, Haruki, 2008. "Entry into the electricity market: Uncertainty, competition, and mothballing options," Energy Economics, Elsevier, vol. 30(4), pages 1809-1830, July.
  13. Angelica Gianfreda & Derek Bunn, 2018. "A Stochastic Latent Moment Model for Electricity Price Formation," BEMPS - Bozen Economics & Management Paper Series BEMPS46, Faculty of Economics and Management at the Free University of Bozen.
  14. Seiji Harikae & James S. Dyer & Tianyang Wang, 2021. "Valuing Real Options in the Volatile Real World," Production and Operations Management, Production and Operations Management Society, vol. 30(1), pages 171-189, January.
  15. Zdenìk Zmeškal, 2008. "Application of the American Real Flexible Switch Options Methodology A Generalized Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 58(05-06), pages 261-275, August.
  16. Fernandes, Bartolomeu & Cunha, Jorge & Ferreira, Paula, 2011. "The use of real options approach in energy sector investments," Renewable and Sustainable Energy Reviews, Elsevier, vol. 15(9), pages 4491-4497.
  17. Möst, Dominik & Keles, Dogan, 2010. "A survey of stochastic modelling approaches for liberalised electricity markets," European Journal of Operational Research, Elsevier, vol. 207(2), pages 543-556, December.
  18. Alexandar Angelus, 2021. "Distributed Renewable Power Generation and Implications for Capacity Investment and Electricity Prices," Production and Operations Management, Production and Operations Management Society, vol. 30(12), pages 4614-4634, December.
  19. Chung-Li Tseng & Kyle Y. Lin, 2007. "A Framework Using Two-Factor Price Lattices for Generation Asset Valuation," Operations Research, INFORMS, vol. 55(2), pages 234-251, April.
  20. Lee, Shun-Chung, 2011. "Using real option analysis for highly uncertain technology investments: The case of wind energy technology," Renewable and Sustainable Energy Reviews, Elsevier, vol. 15(9), pages 4443-4450.
  21. Wickart, Marcel & Madlener, Reinhard, 2007. "Optimal technology choice and investment timing: A stochastic model of industrial cogeneration vs. heat-only production," Energy Economics, Elsevier, vol. 29(4), pages 934-952, July.
  22. Matt Thompson & Matt Davison & Henning Rasmussen, 2004. "Valuation and Optimal Operation of Electric Power Plants in Competitive Markets," Operations Research, INFORMS, vol. 52(4), pages 546-562, August.
  23. Felix, Bastian Joachim & Weber, Christoph, 2012. "Gas storage valuation applying numerically constructed recombining trees," European Journal of Operational Research, Elsevier, vol. 216(1), pages 178-187.
  24. Schachter, J.A. & Mancarella, P., 2016. "A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems," Renewable and Sustainable Energy Reviews, Elsevier, vol. 56(C), pages 261-271.
  25. Nemat Safarov & Colin Atkinson, 2016. "Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching," Papers 1607.01207, arXiv.org, revised Jul 2016.
  26. Fuss, Sabine & Szolgayová, Jana & Khabarov, Nikolay & Obersteiner, Michael, 2012. "Renewables and climate change mitigation: Irreversible energy investment under uncertainty and portfolio effects," Energy Policy, Elsevier, vol. 40(C), pages 59-68.
  27. Fuss, Sabine & Szolgayova, Jana & Obersteiner, Michael & Gusti, Mykola, 2008. "Investment under market and climate policy uncertainty," Applied Energy, Elsevier, vol. 85(8), pages 708-721, August.
  28. Liu, Jiangfeng & Zhang, Qi & Li, Hailong & Chen, Siyuan & Teng, Fei, 2022. "Investment decision on carbon capture and utilization (CCU) technologies—A real option model based on technology learning effect," Applied Energy, Elsevier, vol. 322(C).
  29. Drago Papler & Štefan Bojnec, 2015. "Competitiveness and Factors of Delivery of Electricity," Faculty of Management Koper Monograph Series, University of Primorska, Faculty of Management Koper, number 978-961-266-188-5, June.
  30. Rubin, Ofir David, 2010. "Equilibrium pricing in electricity markets with wind power," ISU General Staff Papers 201001010800002361, Iowa State University, Department of Economics.
  31. Derek W. Bunn & Fernando S. Oliveira, 2008. "Modeling the Impact of Market Interventions on the Strategic Evolution of Electricity Markets," Operations Research, INFORMS, vol. 56(5), pages 1116-1130, October.
  32. Lin, Boqiang & Wesseh, Presley K., 2013. "Valuing Chinese feed-in tariffs program for solar power generation: A real options analysis," Renewable and Sustainable Energy Reviews, Elsevier, vol. 28(C), pages 474-482.
  33. Lee, Shun-Chung & Shih, Li-Hsing, 2010. "Renewable energy policy evaluation using real option model -- The case of Taiwan," Energy Economics, Elsevier, vol. 32(Supplemen), pages 67-78, September.
  34. Sripad K. Devalkar & Ravi Anupindi & Amitabh Sinha, 2011. "Integrated Optimization of Procurement, Processing, and Trade of Commodities," Operations Research, INFORMS, vol. 59(6), pages 1369-1381, December.
  35. Alessio Trivella & Selvaprabu Nadarajah & Stein-Erik Fleten & Denis Mazieres & David Pisinger, 2021. "Managing Shutdown Decisions in Merchant Commodity and Energy Production: A Social Commerce Perspective," Manufacturing & Service Operations Management, INFORMS, vol. 23(2), pages 311-330, March.
  36. Hlouskova, Jaroslava & Kossmeier, Stephan & Obersteiner, Michael & Schnabl, Alexander, 2005. "Real options and the value of generation capacity in the German electricity market," Review of Financial Economics, Elsevier, vol. 14(3-4), pages 297-310.
  37. Janne Kettunen & Derek W. Bunn & William Blyth, 2011. "Investment Propensities under Carbon Policy Uncertainty," The Energy Journal, , vol. 32(1), pages 77-118, January.
  38. Zhang, Lingge & Yang, Dong & Wu, Shining & Luo, Meifeng, 2023. "Revisiting the pricing benchmarks for Asian LNG — An equilibrium analysis," Energy, Elsevier, vol. 262(PA).
  39. Nemat Safarov & Colin Atkinson, 2017. "Natural Gas-Fired Power Plants Valuation And Optimization Under Lévy Copulas And Regime Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-38, February.
  40. Alibeiki, Hedayat & Lotfaliei, Babak, 2022. "To expand and to abandon: Real options under asset variance risk premium," European Journal of Operational Research, Elsevier, vol. 300(2), pages 771-787.
  41. Szolgayova, Jana & Fuss, Sabine & Obersteiner, Michael, 2008. "Assessing the effects of CO2 price caps on electricity investments--A real options analysis," Energy Policy, Elsevier, vol. 36(10), pages 3974-3981, October.
  42. Guthrie, Graeme & Videbeck, Steen, 2004. "Electricity Spot Price Dynamics: Beyond Financial Models," Working Paper Series 18961, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  43. Blyth, William & Bradley, Richard & Bunn, Derek & Clarke, Charlie & Wilson, Tom & Yang, Ming, 2007. "Investment risks under uncertain climate change policy," Energy Policy, Elsevier, vol. 35(11), pages 5766-5773, November.
  44. Matt Thompson, 2013. "Optimal Economic Dispatch and Risk Management of Thermal Power Plants in Deregulated Markets," Operations Research, INFORMS, vol. 61(4), pages 791-809, August.
  45. Joachim Gahungu and Yves Smeers, 2012. "A Real Options Model for Electricity Capacity Expansion," RSCAS Working Papers 2012/08, European University Institute.
  46. Laurikka, Harri, 2006. "Option value of gasification technology within an emissions trading scheme," Energy Policy, Elsevier, vol. 34(18), pages 3916-3928, December.
  47. Boomsma, Trine Krogh & Meade, Nigel & Fleten, Stein-Erik, 2012. "Renewable energy investments under different support schemes: A real options approach," European Journal of Operational Research, Elsevier, vol. 220(1), pages 225-237.
  48. Markus Burger & Bernhard Klar & Alfred Muller & Gero Schindlmayr, 2004. "A spot market model for pricing derivatives in electricity markets," Quantitative Finance, Taylor & Francis Journals, vol. 4(1), pages 109-122.
  49. Siddiqui, Afzal S. & Marnay, Chris & Wiser, Ryan H., 2007. "Real options valuation of US federal renewable energy research, development, demonstration, and deployment," Energy Policy, Elsevier, vol. 35(1), pages 265-279, January.
  50. Keles, Dogan & Möst, Dominik & Fichtner, Wolf, 2011. "The development of the German energy market until 2030--A critical survey of selected scenarios," Energy Policy, Elsevier, vol. 39(2), pages 812-825, February.
  51. Gersema, Gerke & Wozabal, David, 2018. "Risk-optimized pooling of intermittent renewable energy sources," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 217-230.
  52. Guthrie, Graeme & Videbeck, Steen, 2007. "Electricity spot price dynamics: Beyond financial models," Energy Policy, Elsevier, vol. 35(11), pages 5614-5621, November.
  53. Zhang, Mingming & Zhou, Dequn & Zhou, Peng, 2014. "A real option model for renewable energy policy evaluation with application to solar PV power generation in China," Renewable and Sustainable Energy Reviews, Elsevier, vol. 40(C), pages 944-955.
  54. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
  55. Nadarajah, Selvaprabu & Secomandi, Nicola, 2023. "A review of the operations literature on real options in energy," European Journal of Operational Research, Elsevier, vol. 309(2), pages 469-487.
  56. Naito, Yuta & Takashima, Ryuta & Kimura, Hiroshi & Madarame, Haruki, 2010. "Evaluating replacement project of nuclear power plants under uncertainty," Energy Policy, Elsevier, vol. 38(3), pages 1321-1329, March.
  57. Lee, Shun-Chung & Shih, Li-Hsing, 2011. "Enhancing renewable and sustainable energy development based on an options-based policy evaluation framework: Case study of wind energy technology in Taiwan," Renewable and Sustainable Energy Reviews, Elsevier, vol. 15(5), pages 2185-2198, June.
  58. Fan, Lin & Hobbs, Benjamin F. & Norman, Catherine S., 2010. "Risk aversion and CO2 regulatory uncertainty in power generation investment: Policy and modeling implications," Journal of Environmental Economics and Management, Elsevier, vol. 60(3), pages 193-208, November.
  59. Jiang, Ruiwei & Zhang, Muhong & Li, Guang & Guan, Yongpei, 2014. "Two-stage network constrained robust unit commitment problem," European Journal of Operational Research, Elsevier, vol. 234(3), pages 751-762.
  60. Bunn, Derek W. & Oliveira, Fernando S., 2016. "Dynamic capacity planning using strategic slack valuation," European Journal of Operational Research, Elsevier, vol. 253(1), pages 40-50.
  61. Fleten, Stein-Erik & Haugom, Erik & Ullrich, Carl J., 2017. "The real options to shutdown, startup, and abandon: U.S. electricity industry evidence," Energy Economics, Elsevier, vol. 63(C), pages 1-12.
  62. González-Pedraz, Carlos & Moreno, Manuel & Peña, Juan Ignacio, 2014. "Tail risk in energy portfolios," Energy Economics, Elsevier, vol. 46(C), pages 422-434.
  63. Briest, Gordon & Lauven, Lars-Peter & Kupfer, Stefan & Lukas, Elmar, 2022. "Leaving well-worn paths: Reversal of the investment-uncertainty relationship and flexible biogas plant operation," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1162-1176.
  64. repec:vuw:vuwscr:18961 is not listed on IDEAS
  65. Huberts, Nick F.D. & Thijssen, Jacco J.J., 2023. "Optimal timing of non-pharmaceutical interventions during an epidemic," European Journal of Operational Research, Elsevier, vol. 305(3), pages 1366-1389.
  66. Kallio, Markku & Kuula, Markku & Oinonen, Sami, 2012. "Real options valuation of forest plantation investments in Brazil," European Journal of Operational Research, Elsevier, vol. 217(2), pages 428-438.
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