Electricity real options valuation

被引：0
|
作者：
Broszkiewicz-Suwaj, Ewa [1 ]
机构：
[1] Wroclaw Tech Univ, Hugo Steinhaus Ctr, Inst Math & Comp Sci, PL-50370 Wroclaw, Poland
来源：
ACTA PHYSICA POLONICA B | 2006年 / 37卷 / 11期
关键词：
D O I：
暂无
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
In this paper a real option approach for the valuation of real assets is presented. Two continuous time models used for valuation are described: geometric Brownian motion model and interest rate model. The valuation for electricity spread option under Vasicek interest model is placed and the formulas for parameter estimators are calculated. The theoretical part is confronted with real data from electricity market.
引用
收藏
页码：2955 / 2965
页数：11
相关论文
共 50 条
  • [1] Real options valuation
    Cobb, Barry R.
    Charnes, John M.
    [J]. PROCEEDINGS OF THE 2007 WINTER SIMULATION CONFERENCE, VOLS 1-5, 2007, : 161 - +
  • [2] Exotic electricity options and the valuation of electricity generation and transmission assets
    Deng, SJ
    Johnson, B
    Sogomonian, A
    [J]. DECISION SUPPORT SYSTEMS, 2001, 30 (03) : 383 - 392
  • [3] Real options for biotechnology valuation
    Michael Harrison
    Leonard Lerer
    [J]. Nature Biotechnology, 2002, 20 : 223 - 223
  • [4] Real options for biotechnology valuation
    Harrison, M
    Lerer, L
    [J]. NATURE BIOTECHNOLOGY, 2002, 20 (03) : 223 - 223
  • [5] Valuation of Advanced Real Options
    Culik, Miroslav
    Gurny, Petr
    [J]. MANAGING AND MODELLING OF FINANCIAL RISKS, 8TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I & II, 2016, : 145 - 156
  • [6] The sense of Real options for valuation
    Kintler, Jakub
    [J]. MANAGING AND MODELLING OF FINANCIAL RISKS, 8TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I & II, 2016, : 404 - 409
  • [7] An approach to investments valuation in the Colombian electricity market using real options and stochastic control theory
    Correa-Martinez, YC
    Valencia, LB
    [J]. Managing in a Dangerous World: TWENTY-FIVE YEARS OF TECHNICAL CONFERENCES: BRIDGING BETWEEN TECHNOLOGY AND MANAGEMENT, 2004, : 567 - 574
  • [8] Real Options Valuation with Variable Parameters
    Culik, Miroslav
    [J]. FINANCIAL MANAGEMENT OF FIRMS AND FINANCIAL INSTITUTIONS: 10TH INTERNATIONAL SCIENTIFIC CONFERENCE, PTS I-IV, 2015, : 181 - 194
  • [9] ECONOMIC VALUATION OF PATENTS AS REAL OPTIONS
    Kramna, Eva
    [J]. FINANCE AND THE PERFORMANCE OF FIRMS IN SCIENCE, EDUCATION, AND PRACTICE, 2011, : 294 - 302
  • [10] Use of real options in asset valuation
    Gitelman, Gary
    [J]. Electricity Journal, 2002, 15 (09): : 58 - 71
12345