Operational asset replacement strategy: A real options approach

Short-Term Generation Asset Valuation: A Real Options Approach

This paper discusses using real options to value power plants with unit commitment constraints over a short-term period. We formulate the problem as a multistage stochastic problem and propose a solution procedure that integrates forward-moving Monte Carlo simulation with backward-moving dynamic programming. We assume that the power plant operator maximizes expected profit by deciding in each h...

Valuing flexibility in demand-side response: A real options approach

The investment interests in the electricity industry are transmitted through various mechanisms to other economic activities. This paper considers methods for esteeming the adaptability of demand-side response (DSR) in its capacity to react to future uncertainties. The capacity to evaluate this adaptability is particularly critical for vitality frameworks speculations given their extensive and ...

Mergers and market valuation: real options approach

This paper investigates the connection between market valuation anda type of the merger (stock, cash) using real options setup. I solveexplicitly for the timing and terms of cash mergers in two deferent settingsto demonstrate that cash mergers generally occur at low marketvaluations, whereas stock mergers that may be observed at both low andhigh valuations; the result holds with some dierences ...

Managing Operational Uncertainty with Real Options

The operation of a complex system in a high stakes environment can lead to unacceptable levels of risk. The unintended consequences of system failure or under-performance make it imperative to understand and manage operational uncertainty during the design phase. In order to manage operational uncertainty, this paper presents the application of real options analysis in design. Our approach firs...

Strategy , Heuristics , and Real Options