期刊文献+

发电投资的实物期权决策方法 被引量:50

A Real Option Approach to Generation Investment Decision-making in Electricity Market Environment
下载PDF
导出
摘要 电力工业的市场化改革为发电投资决策引入了更多的不确定性因素,从而对决策的灵活性提出了更高的要求。针对传统发电规划方法难以处理对决策有灵活性要求的问题,文中提出将发电投资项目的灵活性表示为一种有价值的实物期权,运用Black-Scholes(B-S)期权定价模型对发电项目的延迟投资决策进行估价,在相当程度上避免了传统的发电投资决策方法依赖项目的净现值而对诸多实物期权价值只能凭主观判断的缺点,能够计及灵活性要求,做出更合理的投资决策。 The world-wide power industry restructuring has introduced more uncertain factors for generation investment decision-making, and hence more flexibility concerning the investment strategy required. The currently available generation investment decision-making methods developed for the traditional regulated power industry could not well meet the flexibility requirement encountered in the electricity market environment. Given this background, a new decision-making method is presented in this paper with generation investment project flexibility regarded as a valuable real option. Based on the well-developed Black-Scholes option pricing theory, a deferment option model of generation investment is developed. This method is more applicable to the generation investment decision-making problem in the electricity market environment than the traditional net present value (NPV) based method.
出处 《电力系统自动化》 EI CSCD 北大核心 2005年第11期1-5,共5页 Automation of Electric Power Systems
基金 中国博士后科学基金资助项目(2003034512)香港政府研究资助局(RGC)资助项目(HKU 7171/04E)
关键词 发电投资 实物期权 电力市场 generation investment real options electricity market
  • 引文网络
  • 相关文献

参考文献12

  • 1AMRAM M,KULATILAKA N.实物期权:不确定环境下的战略投资管理.张维,译.北京:机械工业出版社,2001.
  • 2WANG C H. Generation Planning for Electric Power Utilities under Market Uncertainties: A Real Options Approach,Doctoral Dissertation. Ames(IA, USA) : Iowa State University,2001.
  • 3MINK J, WANG C H. Generation Planning for Inter-related Generation Units: A Real Options Approach. In: Proceedings of IEEE Power Engineering Society Summer Meeting, Vol 4.Seattle(WA, USA): 2000. 2261-2265.
  • 4KEPPO J, LU Hao. Real Options and a Large Producer: The Case of Electricity Markets. Energy Economics, 2003, 25 (5):459-472.
  • 5李开海,王旭,蒋燕.期权理论在电源规划投资模型中的应用[J].现代电力,2003,20(3):129-132. 被引量:15
  • 6VONNEGUT A. Real Option Theories and Investment in Emerging Economies. Emerging Markets Review, 2000, 1 (1):82-100.
  • 7YEO K T, QIU F S. The Value of Management Flexibility: A Real Option Approach to Investment Evaluation. International Journal of Project Management, 2003, 21(4): 243-250.
  • 8KORKEAMAKI T, MOORE W T. Capital Investment Timing and Convertible Debt Financing. International Review of Economics and Finance, 2004, 13(1): 75-85.
  • 9BUSBY J S, PITTS C G C. Real Options in Practice: An Exploratory Survey of How Finance Officers Deal with Flexibility in Capital Appraisal. Management Accounting Research, 1997, 8(2): 169-186.
  • 10王成山,吉兴全.输电网合作投资的费用分摊方法[J].电力系统自动化,2003,27(10):22-26. 被引量:11

二级参考文献19

  • 1刘德铭 黄振高.对策论及其应用(Game Theory and Application)[M].长沙:国防科技大学出版社(Changsha:National Defence,1994..
  • 2周明 孙树栋.遗传算法原理及应用(Genetic Algorithms:Theory and Applications)[M].北京:国防工业出版社(Beijing:National Defence Indus,2001..
  • 3Bushnell J, Stoft S. Transmission and Generation Investment in a Competitive Electric Power Industry. Power Report PWP-030,California: University of California Energy Institute, 1995.
  • 4Hogan W W. Contract Networks for Electric Power Transmission. Journal of Regulatory Economics, 1992, 4(3).
  • 5Peyton Y H. Cost Allocation, Demand Revelation, and Core Implementation. Mathematical Social Sciences, 1998, 36 (3) :213-228.
  • 6Lemaire J. An Application of Game Theory: Cost Allocation.ASTIN Bulletin, 2000, 14(1): 61-81.
  • 7Kattuman P A, Bialek J W, Abi-Samra N. Electricity Tracing and Cooperative Game Theory. In: Proceeding of 13th Power System Computation Conference. Trondheim: 1999. 238-243.
  • 8Gately D. Sharing the Gains from Regional Cooperation: A Game Theoretic Application to Planning Investment in Electric Power. International Economic Review, 1974, 15(1): 195-208.
  • 9Jerome Yen, Felix F Wu. Multi-agent Approach to the Planning of Power Transmission Expansion. Decision Support Systems,2000, 28(3): 279-290.
  • 10Eiseh H A, Frajer H. Operations Research Handbook. Berlin:Walter de Gruyter Press, 1977.

共引文献24

同被引文献563

引证文献50

二级引证文献322

;
使用帮助 返回顶部