Mostrar el registro sencillo del ítem

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.creatorArango M.A.A.spa
dc.creatorBotero S.B.spa
dc.date.accessioned2017-12-19T19:36:47Z
dc.date.available2017-12-19T19:36:47Z
dc.date.created2017
dc.identifier.isbn9789899843479
dc.identifier.issn21660727
dc.identifier.urihttp://hdl.handle.net/11407/4321
dc.description.abstractTraditional 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.eng
dc.language.isospa
dc.publisherIEEE Computer Societyspa
dc.relation.isversionofhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85027060175&doi=10.23919%2fCISTI.2017.7975807&partnerID=40&md5=d07fa7c84e5f991069e20cb18e9cc524spa
dc.sourceScopusspa
dc.titleThe 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]spa
dc.typeConference Papereng
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.contributor.affiliationArango, M.A.A., Facultad de Ingenierías, Universidad de Medellín/ Universidad Nacional de, Colombia, Medellín, Colombiaspa
dc.contributor.affiliationBotero, S.B., Facultad de Minas, Universidad Nacional de Colombia, Medellín, Colombiaspa
dc.identifier.doi10.23919/CISTI.2017.7975807
dc.subject.keywordElectricity marketeng
dc.subject.keywordMonte Carlo simulationeng
dc.subject.keywordReal Optionseng
dc.publisher.facultyFacultad de Ingenieríasspa
dc.abstractTraditional 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.eng
dc.creator.affiliationFacultad de Ingenierías, Universidad de Medellín/ Universidad Nacional de, Colombia, Medellín, Colombiaspa
dc.creator.affiliationFacultad de Minas, Universidad Nacional de Colombia, Medellín, Colombiaspa
dc.relation.ispartofesIberian Conference on Information Systems and Technologies, CISTIspa
dc.relation.referencesArango, 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)spa
dc.relation.referencesArango, M.A., Model risk assessment projects in thermal power generation (2016) Rev. Espac., 37 (9), p. 26spa
dc.relation.referencesBlack, F., Scholes, M., (2014) The Pricing of Options and Corporate Liabilities, 81 (3). , Chicagospa
dc.relation.referencesCox, J.C., Ross, S.A., (2000) Option Pricing: A Simplified Approachspa
dc.relation.referencesVithayasrichareon, 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. , Febspa
dc.relation.referencesFernandes, 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. , Decspa
dc.relation.referencesZhang, 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. , Janspa
dc.relation.referencesMartínez 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. , Marspa
dc.relation.referencesJain, S., Roelofs, F., Oosterlee, C.W., Decision-support tool for assessing future nuclear reactor generation portfolios (2014) Energy Econ., 44, pp. 99-112. , Julspa
dc.relation.referencesDixit, A., Pindyck, R.I., (1993) Lnvestment under Uncertainty, , New Jerseyspa
dc.relation.referencesSantos, L., Soares, I., Mendes, C., Ferreira, P., Real options versus traditional methods to assess renewable energy projects (2014) Renew. Energy, 68, pp. 588-594. , Augspa
dc.relation.referencesBailey, 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. 4-19spa
dc.relation.referencesZambujal-Oliveira, J., Investments in combined cycle natural gasfired systems: A real options analysis (2013) Int. J. Electr. Power Energy Syst., 49, pp. 1-7. , Julspa
dc.relation.referencesLee, 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. , Decspa
dc.relation.references(2005) Costos Indicativos de Generación Electrica en Colombia, , Upme and (Unidad de Planeación Minero Energética. Ministerio de Minas y Energía). Colombiaspa
dc.relation.references(2016) Índice de Precios Al Consumidor, Serie de Empalme 2001-2016., , DANE (Departamento Administrativo Nacional de Estadística)spa
dc.relation.references(2016) ELÉCTRICA y POTENCIA MÁXIMA en Colombia Revisión Junio de 2016, , (Unidad de Planeación Minero Energética) Upmespa
dc.relation.referencesRodas, 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 pressspa
dc.type.versioninfo:eu-repo/semantics/publishedVersion
dc.type.driverinfo:eu-repo/semantics/conferenceObject
dc.identifier.reponamereponame:Repositorio Institucional Universidad de Medellínspa
dc.identifier.instnameinstname:Universidad de Medellínspa


Ficheros en el ítem

FicherosTamañoFormatoVer

No hay ficheros asociados a este ítem.

Este ítem aparece en la(s) siguiente(s) colección(ones)

Mostrar el registro sencillo del ítem