The Resource A real options model for electricity capacity expansion, Joachim Gahungu and Yves Smeers

A real options model for electricity capacity expansion, Joachim Gahungu and Yves Smeers

Label
A real options model for electricity capacity expansion
Title
A real options model for electricity capacity expansion
Statement of responsibility
Joachim Gahungu and Yves Smeers
Creator
Contributor
Author
Subject
Language
eng
Summary
This paper proposes a real option capacity expansion model for power generation with several technologies that differ in operation and investment costs. The economy is assumed perfectly competitive and the instantaneous payoff accruing from the generation system is the instantaneous welfare defined as the usual sum of consumer and producer surplus. The computation of this welfare requires the solution of a multi- technology optimization problem and the obtained optimal function value is not additively separable in generation capacities, contrary to what is generally assumed in multi asset real option models to prove the optimality of a myopic behavior. Using the geometric Brownian motion as uncertainty driver we propose two regression models to approximate the instantaneous welfare. A first, additively separable approximation implies the optimality of myopia. The second approximation is non separable and hence forces to take myopic behavior as an assumption. Using myopia as an assumption, we propose a semianalytic method which combines Monte Carlo simulations (used to compute the value of the marginal capacity) and analytical treatment (to solve an optimal stopping problem on a regression scheme)
Member of
Cataloging source
IT-FiEUI
http://library.link/vocab/creatorName
Gahungu, Joachim
Index
no index present
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
  • Smeers, Yves
  • Robert Schuman Centre
Series statement
  • EUI working papers. RSC
  • EUI papers
  • Loyola de Palacio Programme on Energy Policy
Series volume
2012/08
http://library.link/vocab/subjectName
  • Electric power production
  • Electric power production
Label
A real options model for electricity capacity expansion, Joachim Gahungu and Yves Smeers
Link
http://hdl.handle.net/1814/20620
Instantiates
Publication
Note
Keywords: Real options; capacity expansion; power investment; optimal dispatch
Bibliography note
Includes bibliographical references
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
Control code
FIEb17080861
Dimensions
30 cm.
Extent
43 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
n
Other physical details
illustrations
System control number
(OCoLC)785636820
Label
A real options model for electricity capacity expansion, Joachim Gahungu and Yves Smeers
Link
http://hdl.handle.net/1814/20620
Publication
Note
Keywords: Real options; capacity expansion; power investment; optimal dispatch
Bibliography note
Includes bibliographical references
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
Control code
FIEb17080861
Dimensions
30 cm.
Extent
43 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
n
Other physical details
illustrations
System control number
(OCoLC)785636820

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