不確実性下における発電プラントの投資評価:投資率変更オプションとスパークスプレッド・オプション

• 高嶋 隆太

  Department of Nuclear Engineering and Management, Graduate School of Engineering, The University of Tokyo

• 宮口 直也

  Department of Industrial and Management Systems Engineering, Graduate School of Creative Schience and Engineering, Waseda University

• 後藤 允

  Graduate School of Finance, Accounting and Law, Waseda University

書誌事項

タイトル別名

• Evaluating Investments of Power Plant under Uncertainty: Investment Rate Switching and Spark Spread Options
• フカクジツセイ カ ニ オケル ハツデン プラント ノ トウシ ヒョウカ トウシリツ ヘンコウ オプション ト スパークスプレッド オプション

抄録

This paper investigates an investment project of power plants which have the operational flexibility to start-up and shut-down. The project analyzed in this study consists of two sequential phases such as the construction and the operation of the power plant. We develop a simulation model taking into account the uncertainties of construction cost, electricity prices, and fuel prices. Consequently, the project value and the probability distribution of the value are calculated by using the model. Furthermore, we show the effect of the investment rate switching and the spark spread options on the project value.

収録刊行物

• リアルオプション研究

  リアルオプション研究 1 (0), 1-17, 2008

  日本リアルオプション学会

キーワード

• Electricity markets
• investment rate switching option
• spark spread option
• real options
• simulation model

詳細情報

• CRID: 1390001205318611968
• NII論文ID: 130000149533
• NII書誌ID: AA12351380
• DOI: 10.12949/realopn.1.1
• ISSN: 18841635
• ISSN: 18815774
• NDL書誌ID: 10819396
• Web Site: http://id.ndl.go.jp/bib/10819396
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I10819396
• Web Site: https://www.jstage.jst.go.jp/article/realopn/1/0/1_0_1/_pdf
• 本文言語コード: en
• データソース種別:
  • JaLC
  • NDL
  • Crossref
  • CiNii Articles
  • KAKEN
• 抄録ライセンスフラグ: 使用不可