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首页> 外文期刊>Latin America Transactions, IEEE (Revista IEEE America Latina) >Investment under Uncertainty in Power Generation: Integrated Electricity Prices Modeling and Real Options Approach
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Investment under Uncertainty in Power Generation: Integrated Electricity Prices Modeling and Real Options Approach

机译：不确定性下的发电投资：综合电价建模和实物期权方法

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摘要

A proposal is made to analyze the problem of investments under uncertainty in electric power generation through the development of a methodology that uses real options and electric prices modeling. A trinomial tree numerical procedure is implemented using parameters estimated from a stochastic one-factor mean reversion model, integrating a system's operation model to find the electric market long-term expectations. Through dynamic programming, the American real option is assessed, determining the value of the investment opportunity and finding the long-term critical price where the investments become optimal. As a study case, the methodology is applied in the Chilean energy market, evaluating various electric generation technologies and studying the impact of the main parameters of the price model, hence demonstrating that flexibility in decisions adds value to the investments.
机译：提出了通过开发使用实物期权和电价模型的方法来分析发电不确定性下的投资问题的建议。使用从随机一因素均值回归模型估算的参数来实施三叉树数值程序，并集成系统的运行模型以找到电力市场的长期期望。通过动态规划，评估了美国的实物期权，确定了投资机会的价值，并找到了使投资达到最优的长期关键价格。作为研究案例，该方法已应用于智利的能源市场，评估了各种发电技术并研究了价格模型主要参数的影响，因此证明了决策的灵活性为投资增加了价值。

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