書誌事項
- タイトル別名
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- Evaluation of Foreign Investment in Power Plants using Real Options
- リアルオプション ニ ヨル カイガイ ハツデン プラント ノ トウシ カチ ヒョウカ
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This paper proposes new methods for evaluating foreign investment in power plants under market uncertainty using a real options approach. We suppose a thermal power plant project in a deregulated electricity market. One of our proposed methods is that we calculate the cash flow generated by the project in a reference year using actual market data to incorporate periodic characteristics of energy prices into a yearly cash flow model. We make the stochastic yearly cash flow model with the initial value which is the cash flow in the reference year, and certain trend and volatility. Then we calculate the real options value (ROV) of the project which has abandonment options using the yearly cash flow model. Another our proposed method is that we evaluate foreign currency/domestic currency exchange rate risk by representing ROV in foreign currency as yearly pay off and exchanging it to ROV in domestic currency using a stochastic exchange rate model. We analyze the effect of the heat rate and operation and maintenance costs of the power plant on ROV, and evaluate exchange rate risk through numerical examples. Our proposed method will be useful for the risk management of foreign investment in power plants.
収録刊行物
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- 電気学会論文誌B(電力・エネルギー部門誌)
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電気学会論文誌B(電力・エネルギー部門誌) 132 (1), 2-8, 2012
一般社団法人 電気学会
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詳細情報 詳細情報について
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- CRID
- 1390282679577760768
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- NII論文ID
- 10030525337
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- NII書誌ID
- AN10136334
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- ISSN
- 13488147
- 03854213
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- NDL書誌ID
- 023415926
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- 本文言語コード
- ja
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- データソース種別
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- JaLC
- NDL
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- CiNii Articles
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- 抄録ライセンスフラグ
- 使用不可