文章基本信息

标题：VALUING ELECTRICITY ASSETS IN DEREGULATED MARKETS: A REAL OPTIONS MODEL WITH MEAN REVERSION AND JUMPS
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作者：Ethier, Robert G.
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：1999
期号：SUPPL
出版社：Food Distribution Research Society
摘要：Valuation of electricity generating assets is of central importance as utilities are forced to spin-off generators with the introduction of competitive markets. A continuous-time mean reverting price path with stochastic upward jumps is proposed as an appropriate model for long-run competitive electricity prices faced by a generator. A real options model is derived via dynamic programming using infinite series solutions. The derived model produces asset values which are uniformly higher than those produced by existing models, and which accurately predict observed generator sale prices. The model has favorable implications for stranded cost recovery and generator entry in competitive markets.
关键词：real options;electricity deregulation;mean reversion;jump processes;asset valuation