Project Value Assessment of Thermal Power Plant based on RNPV Probit Model Considering Real Option

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  • リアルオプションを考慮したRNPVプロビットモデルに基づく火力発電事業価値評価
  • リアルオプション オ コウリョ シタ RNPV プロビットモデル ニ モトズク カリョク ハツデン ジギョウ カチ ヒョウカ

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Abstract

Deregulation of electric power utilities are processing in the world. As the uncertainties of the business environment are increasing, return for asset investment is also uncertain. Therefore, the electric utilities should evaluate the appropriate value of the capital investment. When only the execution of the project is observed, we have proposed a risk assessment method for generation investment by the probit model (RNPV probit model) which simplifies the evaluation method by the net present value based on utility indifference pricing. In this paper, RNPV probit model is applied to asset evaluation of thermal power plant considering the option to abandon, a kind of real option.

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