Short-term generation asset valuation: A real options approach
成果类型：
Article
署名作者：
Tseng, CL; Barz, G
署名单位：
University System of Maryland; University of Maryland College Park; McKinsey & Company
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.50.2.297.429
发表日期：
2002
页码：
297-310
关键词：
摘要：
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 hour whether or not to run the unit, that a certain lead time for commitment and decommitment decisions is necessary to start up and shut down a unit, and that these commitment decisions, once made, are subject to physical constraints such as minimum uptime and downtime. We also account for the costs associated with starting up and shutting down a unit. Last, we assume that there are hourly markets for both electricity and the fuel used by the generator and that their prices follow Ito processes. Using numerical simulation, we show that failure to consider physical constraints may significantly overvalue a power plant.