Evaluating Investments of Power Plant under Uncertainty: Investment Rate Switching and Spark Spread Options

• Takashima Ryuta

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

• Miyaguchi Naoya

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

• Goto Makoto

  Graduate School of Finance, Accounting and Law, Waseda University

Bibliographic Information

Other Title

• 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
• 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

Abstract

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.

Journal

• Journal of Real Options and Strategy

  Journal of Real Options and Strategy 1 (0), 1-17, 2008

  The Japan Association of Real Options and Strategy

Keywords

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

Details

• CRID: 1390001205318611968
• NII Article ID: 130000149533
• NII Book ID: AA12351380
• DOI: 10.12949/realopn.1.1
• ISSN: 18841635
• ISSN: 18815774
• NDL BIB ID: 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
• Text Lang: en
• Data Source:
  • JaLC
  • NDL
  • Crossref
  • CiNii Articles
  • KAKEN
• Abstract License Flag: Disallowed