文章基本信息

标题：Variable Capacity Utilization, Ambient Temperature Shocks and Generation Asset Valuation
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作者：Tseng, Chung-Li , Wei Zhu ; Alexandre Dmitriev
期刊名称：Discussion Papers / School of Business, University of New South Wales
出版年度：2009
卷号：2009
出版社：Sydney
摘要：This paper discusses generation asset valuation in a framework where capital utilization decisions are endogenous. We use real options approach for valuation of natural gas fuelled turbines. Capital utilization choices that we explore include turning on/off the unit, operating the unit at increased firing temperatures (overfiring), and conducting preventive maintenance. Overfiring provides capacity enhancement which comes at the expense of reduced maintenance interval and increased costs of part replacement. We consider the costs and benefits of overfiring in attempt to maximize the asset value by optimally exercising the overfire option. In addition to stochastic processes governing prices, we incorporate an exogenous productivity shock: ambient temperature. We consider how variation in ambient temperature affects the asset value through its effect on gas turbine’s productivity.
关键词：Electricity generation asset valuation ; overfire option ; price uncertainty