What Is It Worth? Application of Real Options Theory to the Valuation of Generation Assets
http://www.erasmusenergy.com/articles/115/1/What-Is-It-Worth-Application-of-Real-Options-Theory-to-the-Valuation-of-Generation-Assets/Page1.html
Julia Frayer
Julia Frayer directs quantitative analysis and finance projects at London Economics International LLC, Cambridge, Massachusetts. In her role as managing consultant, she has led numerous projects on valuation of generation assets, and applied real options framework in several engagements. She has extensively modeled complex lease transactions involving network assets around the world. She is also an expert on strategic bidding and market power issues in wholesale electricity markets. By Julia Frayer
Published on 12/13/2007
Keywords:
Published in: The electricity journal
Publication year: 2001
Co-author 1: Nazli Uludere
An analysis of two generation assets in a regional market in the Northeast demonstrates how a real options-based valuation framework uncovers and quantifies the value of efficient plant operation in the face of volatile electricity market prices. The analysis shows that a peaking gas-fired facility may be more valuable than a mid-merit coal-fired plant, even though traditional methodologies would favor the coal-fired asset given its lower marginal cost.
Published in: The electricity journal
Publication year: 2001
Co-author 1: Nazli Uludere
An analysis of two generation assets in a regional market in the Northeast demonstrates how a real options-based valuation framework uncovers and quantifies the value of efficient plant operation in the face of volatile electricity market prices. The analysis shows that a peaking gas-fired facility may be more valuable than a mid-merit coal-fired plant, even though traditional methodologies would favor the coal-fired asset given its lower marginal cost.
What Is It Worth? Application of Real Options Theory to the Valuation of Generation Assets
An analysis of two generation assets in a regional market in the Northeast demonstrates how a real options-based valuation framework uncovers and quantifies the value of efficient plant operation in the face of volatile electricity market prices. The analysis shows that a peaking gas-fired facility may be more valuable than a mid-merit coal-fired plant, even though traditional methodologies would favor the coal-fired asset given its lower marginal cost.