Application of real options in decision-making in power markets [Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad]

Strategic investment decisions in power markets are subject to high risk and uncertainty, therefore Real Options appear to be an appropriate tool to assess the decision-making processes in such markets. This paper presents a literature review, analyzing and classifying Real Options applications in p...

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Fecha de publicación:: 2014

Institución:: Universidad de Medellín

Repositorio:: Repositorio UDEM

Idioma:: spa

id	REPOUDEM2_69c88962b0dd73d0848488e0674ec79c
oai_identifier_str	oai:repository.udem.edu.co:11407/5730
network_acronym_str	REPOUDEM2
network_name_str	Repositorio UDEM
repository_id_str
dc.title.none.fl_str_mv	Application of real options in decision-making in power markets [Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad]
title	Application of real options in decision-making in power markets [Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad]
spellingShingle	Application of real options in decision-making in power markets [Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad] Decision making Power markets Real options Valuation Wind power
title_short	Application of real options in decision-making in power markets [Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad]
title_full	Application of real options in decision-making in power markets [Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad]
title_fullStr	Application of real options in decision-making in power markets [Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad]
title_full_unstemmed	Application of real options in decision-making in power markets [Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad]
title_sort	Application of real options in decision-making in power markets [Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad]
dc.subject.none.fl_str_mv	Decision making Power markets Real options Valuation Wind power
topic	Decision making Power markets Real options Valuation Wind power
description	Strategic investment decisions in power markets are subject to high risk and uncertainty, therefore Real Options appear to be an appropriate tool to assess the decision-making processes in such markets. This paper presents a literature review, analyzing and classifying Real Options applications in power markets on investments and operation decisions; energy policy and programs. A synthetic application model is presented using binomial models to introduce wind power instead of coal fired plants according coal prices volatility. Finally it is concluded that Real Options improves the decision-making processes better than traditional methods, as it better captures the uncertainties of this kind of market. © 2013 Universidad ICESI. Published by Elsevier Espanã, S.L.U. All rights reserved.
publishDate	2014
dc.date.accessioned.none.fl_str_mv	2020-04-29T14:53:48Z
dc.date.available.none.fl_str_mv	2020-04-29T14:53:48Z
dc.date.none.fl_str_mv	2014
dc.type.eng.fl_str_mv	Review
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dc.type.coar.fl_str_mv	http://purl.org/coar/resource_type/c_2df8fbb1
dc.type.driver.none.fl_str_mv	info:eu-repo/semantics/article
dc.identifier.issn.none.fl_str_mv	1235923
dc.identifier.uri.none.fl_str_mv	http://hdl.handle.net/11407/5730
dc.identifier.doi.none.fl_str_mv	10.1016/j.estger.2014.06.003
identifier_str_mv	1235923 10.1016/j.estger.2014.06.003
url	http://hdl.handle.net/11407/5730
dc.language.iso.none.fl_str_mv	spa
language	spa
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dc.relation.citationvolume.none.fl_str_mv	30
dc.relation.citationissue.none.fl_str_mv	133
dc.relation.citationstartpage.none.fl_str_mv	397
dc.relation.citationendpage.none.fl_str_mv	407
dc.relation.references.none.fl_str_mv	Balieiro, R.B., Rosenfeld, R., Testing option pricing with the Edgeworth expansion (2004) Physica a, 344 (3-4), pp. 484-490 Barria, C., Rudnick, H., Investment under uncertainty in power generation: Integrated electricity prices modelling and real options approach (2011) Ieee Latin American Transactions, 9 (5), pp. 785-792 Bednyagin, D., Gnansounou, E., Real options valuation of fusion energy R&D programme (2011) Energy Policy, 39 (1), pp. 116-130 Black, F., Scholes, M., The pricing of options and corporate liabilities (1973) Journal of Political Economy, 81 (3), pp. 637-654 Bockman, T., Fleten, S.E., Juliussen, E., Langhammer, H., Revdal, I., Investment timing and optimal capacity choice for small hydropower projects (2007) European Journal of Operational Research, 190 (1), pp. 255-267 Botero, S., Isaza, F., Valencia, A., Evaluation of methodologies for remunerating wind power's reliability in Colombia (2010) Renewable and Sustainable Energy Reviews, 14 (7), pp. 2049-2058 Boyle, P., Options: A monte carlo approach (1977) The Journal of Financial Economics, 4 (3), pp. 323-338 Boyle, P., A lattice framework for option pricing with two state variables (1988) The Journal of Financial and Quantitative Analysis, 23 (1), pp. 1-12 Brandao, L., Dyer, J., Hahn, W., Using binomial decision trees to solve realoption valuation problems (2005) Decision Analysis, 2 (2), pp. 69-88 Calle, A.M., Tamayo, V.M., Decisiones de inversión a través de opciones reales (2009) Estudios Gerenciales, 25 (111), pp. 107-126 Cartea, Á., González-Pedraz, C., How much should we pay for interconnecting electricity markets? A real options approach (2012) Energy Economics, 34 (1), pp. 14-30 Cox, J.C., Ross, S.A., Rubinstein, M., Option pricing: A simplified approach (1979) Journal of Financial Economics, 7 (3), pp. 229-263 Datar, V., Mathews, S., European real options: An intuitive algorithm for the Black-Scholes formula (2004) Journal of Applied Finance, 14 (1), pp. 7-13 Davis, G., Owens, B., Optimizing the level of renewable electric R&D expenditures using real options analysis (2003) Energy Policy, 31 (15), pp. 1589-1608 Deng, S.J., Johnson, B., Sogomonian, A., Exotic electricity options and the valuation of electricity generation and transmission assets (2001) Decision Support Systems, 30 (3), pp. 383-392 Deng, S., Oren, S., Electricity derivatives and risk management (2006) Energy, 31 (6-7), pp. 940-953 Detert, N., Kotani, J., Real options approach to renewable energy investments in Mongolia (2013) Energy Policy, 56, pp. 136-150 Dixit, A.K., Pindyck, R.S., (1994) Investment under Uncertainty, , New Jersey: Princeton University Press (2007) Technical and Echonomic Assessment of Off-grid, Mini-grid and Grid Electrification Technologies, , http://www.esmap.org/sites/esmap.org/files/Technical%20and%20Economic%20Assessment%20of%20Off-grid,%20Minigrid%20and%20Grid%20Electrification%20TechnologiesReport%2012107.Pdf, ESMAP . Informe Técnico 121/07 [consultado 30 Ene 2013]. Disponible em Fleten, S.E., Boomsa, T.K., Meade, N., Renewable energy investments under different support schemes: A real option approach (2012) European Journal of Operational Research, 220 (1), pp. 225-237 Fleten, S.E., Näsäkkälä, E., Gas-fired power plants: Investment timing, operating flexibility and CO2 capture (2010) Energy Economics, 32 (4), pp. 805-816 Fuss, S., Johansson, D., Szolgayova, J., Obersteiner, M., Impact of climate policy uncertainty on the adoption of electricity generating technologies (2009) Energy Policy, 37 (2), pp. 733-743 Fuss, S., Szolgayová, J., Khabarov, N., Obersteiner, M., Renewable and climate change mitigation: Irreversible energy investment under uncertainty and portfolio effects (2012) Energy Policy, 40, pp. 59-68 Gollier, C., Proult, D., Thais, F., Wlagenwitz, G., Choice of nuclear power investments under price uncertainty: Valuing Modularity (2005) Energy Economics, 27 (4), pp. 667-685 Hedman, K.W., Sheblé, G.B., Comparing Hedging Methods for Wind Power: Using Pumped Storage Hydro Units vs. Options Purchasing (2006) 9th Conference on Probabilistic Methods Applied to Power Systems Stockholm, , Sweden Hull, J.C., (2009) Introducción a Los Mercados de Futuros y Opciones, , 6.a ed. México DF: Pearson-Prentice Hall Ingersoll, J.E., Ross, S.A., Waiting to invest: Investment and uncertainty (1992) The Journal of Business, 65 (1), pp. 1-29 Jarrow, R., Rudd, A., Approximate option valuation for arbitrary stochastic processes (1982) Journal of Financial Economics, 10, pp. 347-369 Kamrad, B., Ritchken, P., Multinomial approximating models for options with k state variables (1991) Management Science, 37 (12), pp. 1640-1652 Kirby, N., Davison, M., Using spark spread valuation to investigate the impact of corn-gasoline correlation on ethanol plant valuation (2010) Energy Economics, 32 (6), pp. 1221-1227 Kjaerland, F., A real option analysis of investments in hydropower-The case of Norway (2007) Energy Policy, 35 (11), pp. 5901-5908 Kjaerland, F., Larsen, B., The value of operational flexibility by adding thermal to hydropower: A real option approach (2010) Journal of Applied Operational Research, 2 (1), pp. 43-61 Kodukula, P., Papudesu, C., (2006) Project Valuatiion Using Real Options: A Practitioner's Guide, , New York: J Ross Publishing Kogut, B., Kulatilaika, N., Operating flexibility, global manufacturing, and the option value of a multinational network (1994) Management Science, 40 (1), pp. 123-139 Kulatilaka, N., Valuing the flexibility of flexible manufacturing systems (1988) Ieee Transactions on Engineering Management, 35 (4), pp. 250-257 Kulatilaka, N., The value of flexibility: The case of a dual fuel industrial steam boiler (1993) Financial Management, 22 (3), pp. 271-280 Kumbaroglu, G., Madlener, R., Demirel, M., A real options evaluation model for the diffusion prospects of new renewable power generation technologies (2008) Energy Economics, 30 (4), pp. 1882-1908 Lamothe, P., Méndez, M., Goyanes, A., Real options valuation of a wind farm (2009) 9th Annual Real Options International Conference Portugal and Spain, , In Paper presented at the Laurikka, H., Option value of gasification technology within an emissions trading scheme (2006) Energy Policy, 34 (18), pp. 3916-3928 Lee, S.C., Using real option analysis for highly uncertain technology investments: The case of wind energy technology (2011) Renewable and Sustainable Energy Reviews, 15 (9), pp. 4443-4450 Lee, H., Park, T., Kim, B., Kim, H., A real option-based model for promoting sustainable energy projects under the clean development mechanism (2013) Energy Policy, 54, pp. 360-368 Lee, S.C., Shih, L.H., Renewable energy policy evaluation using real option model-The case of Taiwan (2010) Energy Economics, 32, pp. S67-S78 León, Á., Menciá, J., Sentana, E., (2005) Parametric Properties of Semi-nonparametric Distributions, with Application to Options Valuation, , Madrid: CEMFI Luherman, T., Investment opportunities as real options: Getting started on the numbers (1998) Harvard Business Reviews, 4, pp. 51-67 Madlener, R., Stoverink, S., Power plant investments in the Turkish electricity sector: A real options approach taking into account market liberalization (2012) Applied Energy, 97, pp. 124-134 Margrabe, W., The value of an option to exchange one asset for another (1978) The Journal of Finance, 33 (1), pp. 177-186 Marreco, J.M., Carpio, L.G.T., Flexibility valuation in the Brazilian power system: A real option approach (2006) Energy Policy, 34, pp. 3749-3756 Martínez-Ceseña, E.A., Mutale, J., Application of an advanced real option approach for renwable energy generation projects planning (2011) Renewable and Sustainable Energy Reviews, 15 (4), pp. 2087-2094 Mascareñas, J., Lamothe, P., López, F., Luna, W., (2004) Opciones Reales y Valoración de Activos, , Madrid: Pearson Educación Maya, C., Hernández, J., Gallego, Ó., La valoración de proyectos de energiá eólica en Colombia bajo el enfoque de opciones reales (2012) Cuadernos de Administración, 25 (44), pp. 193-231 McDonald, R., Stiegel, D., The value of waiting to invest (1986) The Quarterly Journal of Economics, 101 (4), pp. 707-728 Mejiá, Ó., Para medir la flexibilidad se deben usar opciones reales: Una visión global (2003) Estudios Gerenciales, 87, pp. 95-111 Merton, R., Theory of rational option pricing (1973) The Bell Journal of Economics and Management Science, 4 (1), pp. 141-183 Moreira, A., Rocha, K., David, P., Thermopower generation investment in Brasil-Economic conditions (2004) Energy Policy, 32 (1), pp. 91-100 Munõz, J.I., Contreras, J., Caamanõ, J., Correira, P.F., Risk assessment of wind power generation project investments based on real options (2009) Ieee Power Tech Conference Bucarest Myers, S.C., Determinants of corporate borrowing (1977) Journal of Financial Economics, 5 (2), pp. 147-175 Myers, S.C., Majd, S., (1983) Calculating Abandonment Value Using Option Pricing Theory, , Working paper No. 1462-83. Sloan School of Management, M.I.T Naito, Y., Takashima, R., Kimura, H., Madarame, H., Evaluating replacement project of nuclear power plants under uncertainty (2010) Energy Policy, 38, pp. 1321-1329 Pindyck, R.S., (1980) Irreversible Investment, Capacity Choice and the Value of the Firm, , Cambridge: National Bureau of Economic Research Pindyck, R.S., Uncertainty in the theory of renewable resource market (1984) The Review of Economic Studies, 51 (2), pp. 289-303 Pindyck, R.S., Irreversibility, uncertainty and investment (1991) Journal of Economic Literature, 29 (3), pp. 1110-1148 Rendleman, R., Bartter, B., Two-state option pricing (1979) Journal of Finance, 34 (5), pp. 1093-1110 Reuter, W.H., Fuss, S., Szolgayová, J., Obersteiner, M., Investment in wind power and pumped storage in a real options model (2012) Renewable and Sustainable Energy Reviews, 16 (4), pp. 2242-2248 Rubinstein, M., Implied binomial trees (1994) Journal of Finance, 49 (3), pp. 771-818 Rubinstein, M., Edgeworth binomial trees (1998) Journal of Derivatives, 5 (3), pp. 20-27 Siddiqui, A., Marnay, C., Wiser, R., Real options valuation of US federal renewable research, development, demonstration and deployment (2007) Energy Policy, 35 (1), pp. 265-279 Smit, H., Trigeorgis, L., (2004) Strategic Investment: Real Options and Games, , New Jersey: Princeton University Press Smith, J., Nau, R., Valuing risky projects: Option pricing theory and decision analysis (1995) Management Science, 41 (5), pp. 795-816 Tourinho, O.A.F., (1979) The Valuation of Reserves of Natural Resources: An Option Pricing Approach, , PhD disertation]. Berkeley: University of California Trigeorgis, L., The nature of option interaction and the valuation of investments with multiple real options (1993) The Journal of Financial and Quantitative Analysis, 28 (1), pp. 1-20 (2006) Atlas de Viento y Energiá Eólica de Colombia, , UPMEe IDEAM. . Bogotá: Colombia (2013) Precio Exportación Carbón Térmico Por Mes, , Http://www.upme.gov.co/generadorconsultas/ConsultaSeries.aspx?idModulo=4&tipoSerie=121&grupo=513&Fechainicial=31/01/1991&Fechafinal=31/10/2013, UPME . [consultado 12 Feb 2014]. Disponible en Venetsanos, K., Angelopoulou, P., Tsoutsos, T., Renewable energy sources project appraisal under uncertainty: The case of wind energy within a changing energy market environment (2002) Energy Policy, 30 (4), pp. 293-307 (2013) Base de Datos Neon, , http://sv04.xm.com.co/neonweb/PrinNeon.asp, XM . Portal BI [consultado 26 Jun 2013]. Disponible en Yu, W., Sheblé, G.B., Lopes, J.A.P., Matos, M.A., Valuation of switchable tariff for wind energy (2006) Electric Power Systems Research, 76 (5), pp. 382-388 Zambujal-Oliveira, J., Investments in combined cycle natural gas-fired systems: A real options analysis (2013) Electric Power & Energy Systems, 49, pp. 1-7
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.none.fl_str_mv	Universidad Icesi
dc.publisher.program.none.fl_str_mv	Ingeniería Financiera
dc.publisher.faculty.none.fl_str_mv	Facultad de Ingenierías
publisher.none.fl_str_mv	Universidad Icesi
dc.source.none.fl_str_mv	Estudios Gerenciales
institution	Universidad de Medellín
repository.name.fl_str_mv	Repositorio Institucional Universidad de Medellin
repository.mail.fl_str_mv	repositorio@udem.edu.co
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spelling	20142020-04-29T14:53:48Z2020-04-29T14:53:48Z1235923http://hdl.handle.net/11407/573010.1016/j.estger.2014.06.003Strategic investment decisions in power markets are subject to high risk and uncertainty, therefore Real Options appear to be an appropriate tool to assess the decision-making processes in such markets. This paper presents a literature review, analyzing and classifying Real Options applications in power markets on investments and operation decisions; energy policy and programs. A synthetic application model is presented using binomial models to introduce wind power instead of coal fired plants according coal prices volatility. Finally it is concluded that Real Options improves the decision-making processes better than traditional methods, as it better captures the uncertainties of this kind of market. © 2013 Universidad ICESI. Published by Elsevier Espanã, S.L.U. All rights reserved.spaUniversidad IcesiIngeniería FinancieraFacultad de Ingenieríashttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84955309722&doi=10.1016%2fj.estger.2014.06.003&partnerID=40&md5=95e59c0c327453591a8d8c201a0d8b6b30133397407Balieiro, R.B., Rosenfeld, R., Testing option pricing with the Edgeworth expansion (2004) Physica a, 344 (3-4), pp. 484-490Barria, C., Rudnick, H., Investment under uncertainty in power generation: Integrated electricity prices modelling and real options approach (2011) Ieee Latin American Transactions, 9 (5), pp. 785-792Bednyagin, D., Gnansounou, E., Real options valuation of fusion energy R&D programme (2011) Energy Policy, 39 (1), pp. 116-130Black, F., Scholes, M., The pricing of options and corporate liabilities (1973) Journal of Political Economy, 81 (3), pp. 637-654Bockman, T., Fleten, S.E., Juliussen, E., Langhammer, H., Revdal, I., Investment timing and optimal capacity choice for small hydropower projects (2007) European Journal of Operational Research, 190 (1), pp. 255-267Botero, S., Isaza, F., Valencia, A., Evaluation of methodologies for remunerating wind power's reliability in Colombia (2010) Renewable and Sustainable Energy Reviews, 14 (7), pp. 2049-2058Boyle, P., Options: A monte carlo approach (1977) The Journal of Financial Economics, 4 (3), pp. 323-338Boyle, P., A lattice framework for option pricing with two state variables (1988) The Journal of Financial and Quantitative Analysis, 23 (1), pp. 1-12Brandao, L., Dyer, J., Hahn, W., Using binomial decision trees to solve realoption valuation problems (2005) Decision Analysis, 2 (2), pp. 69-88Calle, A.M., Tamayo, V.M., Decisiones de inversión a través de opciones reales (2009) Estudios Gerenciales, 25 (111), pp. 107-126Cartea, Á., González-Pedraz, C., How much should we pay for interconnecting electricity markets? A real options approach (2012) Energy Economics, 34 (1), pp. 14-30Cox, J.C., Ross, S.A., Rubinstein, M., Option pricing: A simplified approach (1979) Journal of Financial Economics, 7 (3), pp. 229-263Datar, V., Mathews, S., European real options: An intuitive algorithm for the Black-Scholes formula (2004) Journal of Applied Finance, 14 (1), pp. 7-13Davis, G., Owens, B., Optimizing the level of renewable electric R&D expenditures using real options analysis (2003) Energy Policy, 31 (15), pp. 1589-1608Deng, S.J., Johnson, B., Sogomonian, A., Exotic electricity options and the valuation of electricity generation and transmission assets (2001) Decision Support Systems, 30 (3), pp. 383-392Deng, S., Oren, S., Electricity derivatives and risk management (2006) Energy, 31 (6-7), pp. 940-953Detert, N., Kotani, J., Real options approach to renewable energy investments in Mongolia (2013) Energy Policy, 56, pp. 136-150Dixit, A.K., Pindyck, R.S., (1994) Investment under Uncertainty, , New Jersey: Princeton University Press(2007) Technical and Echonomic Assessment of Off-grid, Mini-grid and Grid Electrification Technologies, , http://www.esmap.org/sites/esmap.org/files/Technical%20and%20Economic%20Assessment%20of%20Off-grid,%20Minigrid%20and%20Grid%20Electrification%20TechnologiesReport%2012107.Pdf, ESMAP . Informe Técnico 121/07 [consultado 30 Ene 2013]. Disponible emFleten, S.E., Boomsa, T.K., Meade, N., Renewable energy investments under different support schemes: A real option approach (2012) European Journal of Operational Research, 220 (1), pp. 225-237Fleten, S.E., Näsäkkälä, E., Gas-fired power plants: Investment timing, operating flexibility and CO2 capture (2010) Energy Economics, 32 (4), pp. 805-816Fuss, S., Johansson, D., Szolgayova, J., Obersteiner, M., Impact of climate policy uncertainty on the adoption of electricity generating technologies (2009) Energy Policy, 37 (2), pp. 733-743Fuss, S., Szolgayová, J., Khabarov, N., Obersteiner, M., Renewable and climate change mitigation: Irreversible energy investment under uncertainty and portfolio effects (2012) Energy Policy, 40, pp. 59-68Gollier, C., Proult, D., Thais, F., Wlagenwitz, G., Choice of nuclear power investments under price uncertainty: Valuing Modularity (2005) Energy Economics, 27 (4), pp. 667-685Hedman, K.W., Sheblé, G.B., Comparing Hedging Methods for Wind Power: Using Pumped Storage Hydro Units vs. Options Purchasing (2006) 9th Conference on Probabilistic Methods Applied to Power Systems Stockholm, , SwedenHull, J.C., (2009) Introducción a Los Mercados de Futuros y Opciones, , 6.a ed. México DF: Pearson-Prentice HallIngersoll, J.E., Ross, S.A., Waiting to invest: Investment and uncertainty (1992) The Journal of Business, 65 (1), pp. 1-29Jarrow, R., Rudd, A., Approximate option valuation for arbitrary stochastic processes (1982) Journal of Financial Economics, 10, pp. 347-369Kamrad, B., Ritchken, P., Multinomial approximating models for options with k state variables (1991) Management Science, 37 (12), pp. 1640-1652Kirby, N., Davison, M., Using spark spread valuation to investigate the impact of corn-gasoline correlation on ethanol plant valuation (2010) Energy Economics, 32 (6), pp. 1221-1227Kjaerland, F., A real option analysis of investments in hydropower-The case of Norway (2007) Energy Policy, 35 (11), pp. 5901-5908Kjaerland, F., Larsen, B., The value of operational flexibility by adding thermal to hydropower: A real option approach (2010) Journal of Applied Operational Research, 2 (1), pp. 43-61Kodukula, P., Papudesu, C., (2006) Project Valuatiion Using Real Options: A Practitioner's Guide, , New York: J Ross PublishingKogut, B., Kulatilaika, N., Operating flexibility, global manufacturing, and the option value of a multinational network (1994) Management Science, 40 (1), pp. 123-139Kulatilaka, N., Valuing the flexibility of flexible manufacturing systems (1988) Ieee Transactions on Engineering Management, 35 (4), pp. 250-257Kulatilaka, N., The value of flexibility: The case of a dual fuel industrial steam boiler (1993) Financial Management, 22 (3), pp. 271-280Kumbaroglu, G., Madlener, R., Demirel, M., A real options evaluation model for the diffusion prospects of new renewable power generation technologies (2008) Energy Economics, 30 (4), pp. 1882-1908Lamothe, P., Méndez, M., Goyanes, A., Real options valuation of a wind farm (2009) 9th Annual Real Options International Conference Portugal and Spain, , In Paper presented at theLaurikka, H., Option value of gasification technology within an emissions trading scheme (2006) Energy Policy, 34 (18), pp. 3916-3928Lee, S.C., Using real option analysis for highly uncertain technology investments: The case of wind energy technology (2011) Renewable and Sustainable Energy Reviews, 15 (9), pp. 4443-4450Lee, H., Park, T., Kim, B., Kim, H., A real option-based model for promoting sustainable energy projects under the clean development mechanism (2013) Energy Policy, 54, pp. 360-368Lee, S.C., Shih, L.H., Renewable energy policy evaluation using real option model-The case of Taiwan (2010) Energy Economics, 32, pp. S67-S78León, Á., Menciá, J., Sentana, E., (2005) Parametric Properties of Semi-nonparametric Distributions, with Application to Options Valuation, , Madrid: CEMFILuherman, T., Investment opportunities as real options: Getting started on the numbers (1998) Harvard Business Reviews, 4, pp. 51-67Madlener, R., Stoverink, S., Power plant investments in the Turkish electricity sector: A real options approach taking into account market liberalization (2012) Applied Energy, 97, pp. 124-134Margrabe, W., The value of an option to exchange one asset for another (1978) The Journal of Finance, 33 (1), pp. 177-186Marreco, J.M., Carpio, L.G.T., Flexibility valuation in the Brazilian power system: A real option approach (2006) Energy Policy, 34, pp. 3749-3756Martínez-Ceseña, E.A., Mutale, J., Application of an advanced real option approach for renwable energy generation projects planning (2011) Renewable and Sustainable Energy Reviews, 15 (4), pp. 2087-2094Mascareñas, J., Lamothe, P., López, F., Luna, W., (2004) Opciones Reales y Valoración de Activos, , Madrid: Pearson EducaciónMaya, C., Hernández, J., Gallego, Ó., La valoración de proyectos de energiá eólica en Colombia bajo el enfoque de opciones reales (2012) Cuadernos de Administración, 25 (44), pp. 193-231McDonald, R., Stiegel, D., The value of waiting to invest (1986) The Quarterly Journal of Economics, 101 (4), pp. 707-728Mejiá, Ó., Para medir la flexibilidad se deben usar opciones reales: Una visión global (2003) Estudios Gerenciales, 87, pp. 95-111Merton, R., Theory of rational option pricing (1973) The Bell Journal of Economics and Management Science, 4 (1), pp. 141-183Moreira, A., Rocha, K., David, P., Thermopower generation investment in Brasil-Economic conditions (2004) Energy Policy, 32 (1), pp. 91-100Munõz, J.I., Contreras, J., Caamanõ, J., Correira, P.F., Risk assessment of wind power generation project investments based on real options (2009) Ieee Power Tech Conference BucarestMyers, S.C., Determinants of corporate borrowing (1977) Journal of Financial Economics, 5 (2), pp. 147-175Myers, S.C., Majd, S., (1983) Calculating Abandonment Value Using Option Pricing Theory, , Working paper No. 1462-83. 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Disponible enYu, W., Sheblé, G.B., Lopes, J.A.P., Matos, M.A., Valuation of switchable tariff for wind energy (2006) Electric Power Systems Research, 76 (5), pp. 382-388Zambujal-Oliveira, J., Investments in combined cycle natural gas-fired systems: A real options analysis (2013) Electric Power & Energy Systems, 49, pp. 1-7Estudios GerencialesDecision makingPower marketsReal optionsValuationWind powerApplication of real options in decision-making in power markets [Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad]Reviewinfo:eu-repo/semantics/articlehttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_2df8fbb1Cuervoa, F.I., Programa de Ingenieriá Financiera, Universidad de Medellín, Profesor Auxiliar, Medellín, Colombia; Boterob, S.B., Facultad de Minas, Universidad Nacional de Colombia, Profesor Asociado, Medellín, Colombiahttp://purl.org/coar/access_right/c_16ecCuervoa F.I.Boterob S.B.11407/5730oai:repository.udem.edu.co:11407/57302020-05-27 16:33:33.145Repositorio Institucional Universidad de Medellinrepositorio@udem.edu.co

Application of real options in decision-making in power markets [Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad]

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