INCORPORATING OPERATIONAL CHARACTERISTICS AND START-UP COSTS IN OPTION-BASED VALUATION OF POWER GENERATION CAPACITY
نویسندگان
چکیده
منابع مشابه
Incorporating Operational Characteristics and Start-up Costs in Option-based Valuation of Power Generation Capacity
We describe a stochastic dynamic programming approach for “real option” based valuation of electricity generation capacity incorporating operational constraints and startup costs. Stochastic prices of electricity and fuel are represented by recombining multinomial trees. Generators are modeled as a strip of cross commodity call options with a delay and a cost imposed on each option exercise. We...
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ژورنال
عنوان ژورنال: Probability in the Engineering and Informational Sciences
سال: 2003
ISSN: 0269-9648,1469-8951
DOI: 10.1017/s0269964803172014