Real options and the value of generation capacity in the German electricity market
In this paper we implement a real options model for the unit commitment problem of an electricity producing turbine in a liberalized market. The model accounts for various operating constraints of the turbine. Price uncertainty is captured by a mean reverting process with jumps and time-varying mean...| Link(s) zu Dokument(en): | IHS Publikation |
|---|---|
| Hauptverfasser: | , , , |
| Format: | Article in Academic Journal PeerReviewed |
| Veröffentlicht: |
Elsevier
2005
|
| Zusammenfassung: | In this paper we implement a real options model for the unit commitment problem of an electricity producing turbine in a liberalized market. The model accounts for various operating constraints of the turbine. Price uncertainty is captured by a mean reverting process with jumps and time-varying means to account for seasonality. We demonstrate how the model can be used to value an electricity producing turbine, make profit-maximizing commitment decisions and compute risk profiles of generating assets for risk management purposes. |
|---|