The application of real options as a tool for decision-making in the electricity market [La aplicación de opciones reales como herramienta de toma de decisiones en el mercado de electricidad]

Traditional valuation methods such as Net present value (NPV) underestimate the value of projects when they face flexibility, that is to say, it does not know the actions of the managers in the face of changes in market conditions. The application of real options (OR) complements the results obtaine...

Full description

Autores:

Tipo de recurso:

Fecha de publicación:: 2017

Institución:: Universidad de Medellín

Repositorio:: Repositorio UDEM

Idioma:: spa

id	REPOUDEM2_1448b232ae2ff806c120dd77138396ad
oai_identifier_str	oai:repository.udem.edu.co:11407/4321
network_acronym_str	REPOUDEM2
network_name_str	Repositorio UDEM
repository_id_str
dc.title.spa.fl_str_mv	The application of real options as a tool for decision-making in the electricity market [La aplicación de opciones reales como herramienta de toma de decisiones en el mercado de electricidad]
title	The application of real options as a tool for decision-making in the electricity market [La aplicación de opciones reales como herramienta de toma de decisiones en el mercado de electricidad]
spellingShingle	The application of real options as a tool for decision-making in the electricity market [La aplicación de opciones reales como herramienta de toma de decisiones en el mercado de electricidad] Electricity market Monte Carlo simulation Real Options
title_short	The application of real options as a tool for decision-making in the electricity market [La aplicación de opciones reales como herramienta de toma de decisiones en el mercado de electricidad]
title_full	The application of real options as a tool for decision-making in the electricity market [La aplicación de opciones reales como herramienta de toma de decisiones en el mercado de electricidad]
title_fullStr	The application of real options as a tool for decision-making in the electricity market [La aplicación de opciones reales como herramienta de toma de decisiones en el mercado de electricidad]
title_full_unstemmed	The application of real options as a tool for decision-making in the electricity market [La aplicación de opciones reales como herramienta de toma de decisiones en el mercado de electricidad]
title_sort	The application of real options as a tool for decision-making in the electricity market [La aplicación de opciones reales como herramienta de toma de decisiones en el mercado de electricidad]
dc.contributor.affiliation.spa.fl_str_mv	Arango, M.A.A., Facultad de Ingenierías, Universidad de Medellín/ Universidad Nacional de, Colombia, Medellín, Colombia Botero, S.B., Facultad de Minas, Universidad Nacional de Colombia, Medellín, Colombia
dc.subject.keyword.eng.fl_str_mv	Electricity market Monte Carlo simulation Real Options
topic	Electricity market Monte Carlo simulation Real Options
description	Traditional valuation methods such as Net present value (NPV) underestimate the value of projects when they face flexibility, that is to say, it does not know the actions of the managers in the face of changes in market conditions. The application of real options (OR) complements the results obtained by traditional methods, avoiding the possible underestimation of the value of investment projects. The Monte Carlo simulation used in the estimation of the OR opens the possibility of deriving the value of the option using empirical distributions on the returns of the underlying generating a series of trajectories, broadening the spectrum for the electricity market investor. © 2017 AISTI.
publishDate	2017
dc.date.accessioned.none.fl_str_mv	2017-12-19T19:36:47Z
dc.date.available.none.fl_str_mv	2017-12-19T19:36:47Z
dc.date.created.none.fl_str_mv	2017
dc.type.eng.fl_str_mv	Conference Paper
dc.type.coarversion.fl_str_mv	http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv	http://purl.org/coar/resource_type/c_c94f
dc.type.driver.none.fl_str_mv	info:eu-repo/semantics/conferenceObject
dc.identifier.isbn.none.fl_str_mv	9789899843479
dc.identifier.issn.none.fl_str_mv	21660727
dc.identifier.uri.none.fl_str_mv	http://hdl.handle.net/11407/4321
dc.identifier.doi.none.fl_str_mv	10.23919/CISTI.2017.7975807
dc.identifier.reponame.spa.fl_str_mv	reponame:Repositorio Institucional Universidad de Medellín
dc.identifier.instname.spa.fl_str_mv	instname:Universidad de Medellín
identifier_str_mv	9789899843479 21660727 10.23919/CISTI.2017.7975807 reponame:Repositorio Institucional Universidad de Medellín instname:Universidad de Medellín
url	http://hdl.handle.net/11407/4321
dc.language.iso.none.fl_str_mv	spa
language	spa
dc.relation.isversionof.spa.fl_str_mv	https://www.scopus.com/inward/record.uri?eid=2-s2.0-85027060175&doi=10.23919%2fCISTI.2017.7975807&partnerID=40&md5=d07fa7c84e5f991069e20cb18e9cc524
dc.relation.ispartofes.spa.fl_str_mv	Iberian Conference on Information Systems and Technologies, CISTI
dc.relation.references.spa.fl_str_mv	Arango, A., Arroyave, O., Análisis de combustibles fósiles en el mercado de generación de energía eléctrica en Colombia: un contraste entre modelos de volatilidad (2016) Rev. Métodos Cuantitativos para la Econ. y la Empres., (22) Arango, M.A., Model risk assessment projects in thermal power generation (2016) Rev. Espac., 37 (9), p. 26 Black, F., Scholes, M., (2014) The Pricing of Options and Corporate Liabilities, 81 (3). , Chicago Cox, J.C., Ross, S.A., (2000) Option Pricing: A Simplified Approach Vithayasrichareon, P., MacGill, I.F., A Monte Carlo based decision-support tool for assessing generation portfolios in future carbon constrained electricity industries (2012) Energy Policy, 41, pp. 374-392. , Feb Fernandes, B., Cunha, J., Ferreira, P., The use of real options approach in energy sector investments (2011) Renew. Sustain. Energy Rev., 15 (9), pp. 4491-4497. , Dec Zhang, X., Wang, X., Chen, J., Xie, X., Wang, K., Wei, Y., A novel modeling based real option approach for CCS investment evaluation under multiple uncertainties (2014) Appl. Energy, 113, pp. 1059-1067. , Jan Martínez Ceseña E, A., Mutale, J., Rivas-Dávalos, F., Real options theory applied to electricity generation projects: A review (2013) Renew. Sustain. Energy Rev., 19, pp. 573-581. , Mar Jain, S., Roelofs, F., Oosterlee, C.W., Decision-support tool for assessing future nuclear reactor generation portfolios (2014) Energy Econ., 44, pp. 99-112. , Jul Dixit, A., Pindyck, R.I., (1993) Lnvestment under Uncertainty, , New Jersey Santos, L., Soares, I., Mendes, C., Ferreira, P., Real options versus traditional methods to assess renewable energy projects (2014) Renew. Energy, 68, pp. 588-594. , Aug Bailey, W., Bhandari, A., Faiz, S., Srinivasan, S., Weeds, H., Valoración de las opciones reales Los directivos de las empresas generalmente tienen flexibilidad respecto de la (2004) Oilf. Rev., pp. 4-19 Zambujal-Oliveira, J., Investments in combined cycle natural gasfired systems: A real options analysis (2013) Int. J. Electr. Power Energy Syst., 49, pp. 1-7. , Jul Lee, S.-C., Using real option analysis for highly uncertain technology investments: The case of wind energy technology (2011) Renew. Sustain. Energy Rev., 15 (9), pp. 4443-4450. , Dec (2005) Costos Indicativos de Generación Electrica en Colombia, , Upme and (Unidad de Planeación Minero Energética. Ministerio de Minas y Energía). Colombia (2016) Índice de Precios Al Consumidor, Serie de Empalme 2001-2016., , DANE (Departamento Administrativo Nacional de Estadística) (2016) ELÉCTRICA y POTENCIA MÁXIMA en Colombia Revisión Junio de 2016, , (Unidad de Planeación Minero Energética) Upme Rodas, Y., Arango, M.A., Optimización de la estructura de costos para la generación de energía hidroeléctrica: Una aplicación del modelo black litterman (2017) Rev. Espac., , in press
dc.rights.coar.fl_str_mv	http://purl.org/coar/access_right/c_16ec
rights_invalid_str_mv	http://purl.org/coar/access_right/c_16ec
dc.publisher.spa.fl_str_mv	IEEE Computer Society
dc.publisher.faculty.spa.fl_str_mv	Facultad de Ingenierías
dc.source.spa.fl_str_mv	Scopus
institution	Universidad de Medellín
repository.name.fl_str_mv	Repositorio Institucional Universidad de Medellin
repository.mail.fl_str_mv	repositorio@udem.edu.co
_version_	1808481177967788032
spelling	2017-12-19T19:36:47Z2017-12-19T19:36:47Z2017978989984347921660727http://hdl.handle.net/11407/432110.23919/CISTI.2017.7975807reponame:Repositorio Institucional Universidad de Medellíninstname:Universidad de MedellínTraditional valuation methods such as Net present value (NPV) underestimate the value of projects when they face flexibility, that is to say, it does not know the actions of the managers in the face of changes in market conditions. The application of real options (OR) complements the results obtained by traditional methods, avoiding the possible underestimation of the value of investment projects. The Monte Carlo simulation used in the estimation of the OR opens the possibility of deriving the value of the option using empirical distributions on the returns of the underlying generating a series of trajectories, broadening the spectrum for the electricity market investor. © 2017 AISTI.spaIEEE Computer SocietyFacultad de Ingenieríashttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85027060175&doi=10.23919%2fCISTI.2017.7975807&partnerID=40&md5=d07fa7c84e5f991069e20cb18e9cc524Iberian Conference on Information Systems and Technologies, CISTIArango, A., Arroyave, O., Análisis de combustibles fósiles en el mercado de generación de energía eléctrica en Colombia: un contraste entre modelos de volatilidad (2016) Rev. Métodos Cuantitativos para la Econ. y la Empres., (22)Arango, M.A., Model risk assessment projects in thermal power generation (2016) Rev. Espac., 37 (9), p. 26Black, F., Scholes, M., (2014) The Pricing of Options and Corporate Liabilities, 81 (3). , ChicagoCox, J.C., Ross, S.A., (2000) Option Pricing: A Simplified ApproachVithayasrichareon, P., MacGill, I.F., A Monte Carlo based decision-support tool for assessing generation portfolios in future carbon constrained electricity industries (2012) Energy Policy, 41, pp. 374-392. , FebFernandes, B., Cunha, J., Ferreira, P., The use of real options approach in energy sector investments (2011) Renew. Sustain. Energy Rev., 15 (9), pp. 4491-4497. , DecZhang, X., Wang, X., Chen, J., Xie, X., Wang, K., Wei, Y., A novel modeling based real option approach for CCS investment evaluation under multiple uncertainties (2014) Appl. Energy, 113, pp. 1059-1067. , JanMartínez Ceseña E, A., Mutale, J., Rivas-Dávalos, F., Real options theory applied to electricity generation projects: A review (2013) Renew. Sustain. Energy Rev., 19, pp. 573-581. , MarJain, S., Roelofs, F., Oosterlee, C.W., Decision-support tool for assessing future nuclear reactor generation portfolios (2014) Energy Econ., 44, pp. 99-112. , JulDixit, A., Pindyck, R.I., (1993) Lnvestment under Uncertainty, , New JerseySantos, L., Soares, I., Mendes, C., Ferreira, P., Real options versus traditional methods to assess renewable energy projects (2014) Renew. Energy, 68, pp. 588-594. , AugBailey, W., Bhandari, A., Faiz, S., Srinivasan, S., Weeds, H., Valoración de las opciones reales Los directivos de las empresas generalmente tienen flexibilidad respecto de la (2004) Oilf. Rev., pp. 4-19Zambujal-Oliveira, J., Investments in combined cycle natural gasfired systems: A real options analysis (2013) Int. J. Electr. Power Energy Syst., 49, pp. 1-7. , JulLee, S.-C., Using real option analysis for highly uncertain technology investments: The case of wind energy technology (2011) Renew. Sustain. Energy Rev., 15 (9), pp. 4443-4450. , Dec(2005) Costos Indicativos de Generación Electrica en Colombia, , Upme and (Unidad de Planeación Minero Energética. Ministerio de Minas y Energía). Colombia(2016) Índice de Precios Al Consumidor, Serie de Empalme 2001-2016., , DANE (Departamento Administrativo Nacional de Estadística)(2016) ELÉCTRICA y POTENCIA MÁXIMA en Colombia Revisión Junio de 2016, , (Unidad de Planeación Minero Energética) UpmeRodas, Y., Arango, M.A., Optimización de la estructura de costos para la generación de energía hidroeléctrica: Una aplicación del modelo black litterman (2017) Rev. Espac., , in pressScopusThe application of real options as a tool for decision-making in the electricity market [La aplicación de opciones reales como herramienta de toma de decisiones en el mercado de electricidad]Conference Paperinfo:eu-repo/semantics/conferenceObjecthttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_c94fArango, M.A.A., Facultad de Ingenierías, Universidad de Medellín/ Universidad Nacional de, Colombia, Medellín, ColombiaBotero, S.B., Facultad de Minas, Universidad Nacional de Colombia, Medellín, ColombiaArango M.A.A.Botero S.B.Facultad de Ingenierías, Universidad de Medellín/ Universidad Nacional de, Colombia, Medellín, ColombiaFacultad de Minas, Universidad Nacional de Colombia, Medellín, ColombiaElectricity marketMonte Carlo simulationReal OptionsTraditional valuation methods such as Net present value (NPV) underestimate the value of projects when they face flexibility, that is to say, it does not know the actions of the managers in the face of changes in market conditions. The application of real options (OR) complements the results obtained by traditional methods, avoiding the possible underestimation of the value of investment projects. The Monte Carlo simulation used in the estimation of the OR opens the possibility of deriving the value of the option using empirical distributions on the returns of the underlying generating a series of trajectories, broadening the spectrum for the electricity market investor. © 2017 AISTI.http://purl.org/coar/access_right/c_16ec11407/4321oai:repository.udem.edu.co:11407/43212020-05-27 18:30:17.376Repositorio Institucional Universidad de Medellinrepositorio@udem.edu.co

The application of real options as a tool for decision-making in the electricity market [La aplicación de opciones reales como herramienta de toma de decisiones en el mercado de electricidad]

Publicaciones similares