Show simple item record

dc.creatorCuervoa F.I.
dc.creatorBoterob S.B.
dc.date2014
dc.date.accessioned2020-04-29T14:53:48Z
dc.date.available2020-04-29T14:53:48Z
dc.identifier.issn1235923
dc.identifier.urihttp://hdl.handle.net/11407/5730
dc.descriptionStrategic 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.
dc.language.isospa
dc.publisherUniversidad Icesi
dc.relation.isversionofhttps://www.scopus.com/inward/record.uri?eid=2-s2.0-84955309722&doi=10.1016%2fj.estger.2014.06.003&partnerID=40&md5=95e59c0c327453591a8d8c201a0d8b6b
dc.sourceEstudios Gerenciales
dc.subjectDecision making
dc.subjectPower markets
dc.subjectReal options
dc.subjectValuation
dc.subjectWind power
dc.titleApplication 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.typeRevieweng
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.publisher.programIngeniería Financiera
dc.identifier.doi10.1016/j.estger.2014.06.003
dc.relation.citationvolume30
dc.relation.citationissue133
dc.relation.citationstartpage397
dc.relation.citationendpage407
dc.publisher.facultyFacultad de Ingenierías
dc.affiliationCuervoa, 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, Colombia
dc.relation.referencesBalieiro, R.B., Rosenfeld, R., Testing option pricing with the Edgeworth expansion (2004) Physica a, 344 (3-4), pp. 484-490
dc.relation.referencesBarria, 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
dc.relation.referencesBednyagin, D., Gnansounou, E., Real options valuation of fusion energy R&D programme (2011) Energy Policy, 39 (1), pp. 116-130
dc.relation.referencesBlack, F., Scholes, M., The pricing of options and corporate liabilities (1973) Journal of Political Economy, 81 (3), pp. 637-654
dc.relation.referencesBockman, 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
dc.relation.referencesBotero, 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
dc.relation.referencesBoyle, P., Options: A monte carlo approach (1977) The Journal of Financial Economics, 4 (3), pp. 323-338
dc.relation.referencesBoyle, P., A lattice framework for option pricing with two state variables (1988) The Journal of Financial and Quantitative Analysis, 23 (1), pp. 1-12
dc.relation.referencesBrandao, L., Dyer, J., Hahn, W., Using binomial decision trees to solve realoption valuation problems (2005) Decision Analysis, 2 (2), pp. 69-88
dc.relation.referencesCalle, A.M., Tamayo, V.M., Decisiones de inversión a través de opciones reales (2009) Estudios Gerenciales, 25 (111), pp. 107-126
dc.relation.referencesCartea, 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
dc.relation.referencesCox, J.C., Ross, S.A., Rubinstein, M., Option pricing: A simplified approach (1979) Journal of Financial Economics, 7 (3), pp. 229-263
dc.relation.referencesDatar, V., Mathews, S., European real options: An intuitive algorithm for the Black-Scholes formula (2004) Journal of Applied Finance, 14 (1), pp. 7-13
dc.relation.referencesDavis, G., Owens, B., Optimizing the level of renewable electric R&D expenditures using real options analysis (2003) Energy Policy, 31 (15), pp. 1589-1608
dc.relation.referencesDeng, 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
dc.relation.referencesDeng, S., Oren, S., Electricity derivatives and risk management (2006) Energy, 31 (6-7), pp. 940-953
dc.relation.referencesDetert, N., Kotani, J., Real options approach to renewable energy investments in Mongolia (2013) Energy Policy, 56, pp. 136-150
dc.relation.referencesDixit, A.K., Pindyck, R.S., (1994) Investment under Uncertainty, , New Jersey: Princeton University Press
dc.relation.references(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
dc.relation.referencesFleten, 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
dc.relation.referencesFleten, S.E., Näsäkkälä, E., Gas-fired power plants: Investment timing, operating flexibility and CO2 capture (2010) Energy Economics, 32 (4), pp. 805-816
dc.relation.referencesFuss, 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
dc.relation.referencesFuss, 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
dc.relation.referencesGollier, 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
dc.relation.referencesHedman, 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
dc.relation.referencesHull, J.C., (2009) Introducción a Los Mercados de Futuros y Opciones, , 6.a ed. México DF: Pearson-Prentice Hall
dc.relation.referencesIngersoll, J.E., Ross, S.A., Waiting to invest: Investment and uncertainty (1992) The Journal of Business, 65 (1), pp. 1-29
dc.relation.referencesJarrow, R., Rudd, A., Approximate option valuation for arbitrary stochastic processes (1982) Journal of Financial Economics, 10, pp. 347-369
dc.relation.referencesKamrad, B., Ritchken, P., Multinomial approximating models for options with k state variables (1991) Management Science, 37 (12), pp. 1640-1652
dc.relation.referencesKirby, 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
dc.relation.referencesKjaerland, F., A real option analysis of investments in hydropower-The case of Norway (2007) Energy Policy, 35 (11), pp. 5901-5908
dc.relation.referencesKjaerland, 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
dc.relation.referencesKodukula, P., Papudesu, C., (2006) Project Valuatiion Using Real Options: A Practitioner's Guide, , New York: J Ross Publishing
dc.relation.referencesKogut, B., Kulatilaika, N., Operating flexibility, global manufacturing, and the option value of a multinational network (1994) Management Science, 40 (1), pp. 123-139
dc.relation.referencesKulatilaka, N., Valuing the flexibility of flexible manufacturing systems (1988) Ieee Transactions on Engineering Management, 35 (4), pp. 250-257
dc.relation.referencesKulatilaka, N., The value of flexibility: The case of a dual fuel industrial steam boiler (1993) Financial Management, 22 (3), pp. 271-280
dc.relation.referencesKumbaroglu, 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
dc.relation.referencesLamothe, 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
dc.relation.referencesLaurikka, H., Option value of gasification technology within an emissions trading scheme (2006) Energy Policy, 34 (18), pp. 3916-3928
dc.relation.referencesLee, 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
dc.relation.referencesLee, 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
dc.relation.referencesLee, S.C., Shih, L.H., Renewable energy policy evaluation using real option model-The case of Taiwan (2010) Energy Economics, 32, pp. S67-S78
dc.relation.referencesLeón, Á., Menciá, J., Sentana, E., (2005) Parametric Properties of Semi-nonparametric Distributions, with Application to Options Valuation, , Madrid: CEMFI
dc.relation.referencesLuherman, T., Investment opportunities as real options: Getting started on the numbers (1998) Harvard Business Reviews, 4, pp. 51-67
dc.relation.referencesMadlener, 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
dc.relation.referencesMargrabe, W., The value of an option to exchange one asset for another (1978) The Journal of Finance, 33 (1), pp. 177-186
dc.relation.referencesMarreco, J.M., Carpio, L.G.T., Flexibility valuation in the Brazilian power system: A real option approach (2006) Energy Policy, 34, pp. 3749-3756
dc.relation.referencesMartínez-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
dc.relation.referencesMascareñas, J., Lamothe, P., López, F., Luna, W., (2004) Opciones Reales y Valoración de Activos, , Madrid: Pearson Educación
dc.relation.referencesMaya, 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
dc.relation.referencesMcDonald, R., Stiegel, D., The value of waiting to invest (1986) The Quarterly Journal of Economics, 101 (4), pp. 707-728
dc.relation.referencesMejiá, Ó., Para medir la flexibilidad se deben usar opciones reales: Una visión global (2003) Estudios Gerenciales, 87, pp. 95-111
dc.relation.referencesMerton, R., Theory of rational option pricing (1973) The Bell Journal of Economics and Management Science, 4 (1), pp. 141-183
dc.relation.referencesMoreira, A., Rocha, K., David, P., Thermopower generation investment in Brasil-Economic conditions (2004) Energy Policy, 32 (1), pp. 91-100
dc.relation.referencesMunõz, 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
dc.relation.referencesMyers, S.C., Determinants of corporate borrowing (1977) Journal of Financial Economics, 5 (2), pp. 147-175
dc.relation.referencesMyers, S.C., Majd, S., (1983) Calculating Abandonment Value Using Option Pricing Theory, , Working paper No. 1462-83. Sloan School of Management, M.I.T
dc.relation.referencesNaito, Y., Takashima, R., Kimura, H., Madarame, H., Evaluating replacement project of nuclear power plants under uncertainty (2010) Energy Policy, 38, pp. 1321-1329
dc.relation.referencesPindyck, R.S., (1980) Irreversible Investment, Capacity Choice and the Value of the Firm, , Cambridge: National Bureau of Economic Research
dc.relation.referencesPindyck, R.S., Uncertainty in the theory of renewable resource market (1984) The Review of Economic Studies, 51 (2), pp. 289-303
dc.relation.referencesPindyck, R.S., Irreversibility, uncertainty and investment (1991) Journal of Economic Literature, 29 (3), pp. 1110-1148
dc.relation.referencesRendleman, R., Bartter, B., Two-state option pricing (1979) Journal of Finance, 34 (5), pp. 1093-1110
dc.relation.referencesReuter, 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
dc.relation.referencesRubinstein, M., Implied binomial trees (1994) Journal of Finance, 49 (3), pp. 771-818
dc.relation.referencesRubinstein, M., Edgeworth binomial trees (1998) Journal of Derivatives, 5 (3), pp. 20-27
dc.relation.referencesSiddiqui, 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
dc.relation.referencesSmit, H., Trigeorgis, L., (2004) Strategic Investment: Real Options and Games, , New Jersey: Princeton University Press
dc.relation.referencesSmith, J., Nau, R., Valuing risky projects: Option pricing theory and decision analysis (1995) Management Science, 41 (5), pp. 795-816
dc.relation.referencesTourinho, O.A.F., (1979) The Valuation of Reserves of Natural Resources: An Option Pricing Approach, , PhD disertation]. Berkeley: University of California
dc.relation.referencesTrigeorgis, 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
dc.relation.references(2006) Atlas de Viento y Energiá Eólica de Colombia, , UPMEe IDEAM. . Bogotá: Colombia
dc.relation.references(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
dc.relation.referencesVenetsanos, 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
dc.relation.references(2013) Base de Datos Neon, , http://sv04.xm.com.co/neonweb/PrinNeon.asp, XM . Portal BI [consultado 26 Jun 2013]. Disponible en
dc.relation.referencesYu, 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
dc.relation.referencesZambujal-Oliveira, J., Investments in combined cycle natural gas-fired systems: A real options analysis (2013) Electric Power & Energy Systems, 49, pp. 1-7
dc.type.versioninfo:eu-repo/semantics/publishedVersion
dc.type.driverinfo:eu-repo/semantics/article


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record