Enerji Programları
K04.How to Value Energy & Electricity Assets Using Real Options Analysis .
Outline:
1.Introduction to Deregulated Market Analysis
a. Why Volatility Modeling?
b. A Brief Comparison of Modeling Techniques
c. Successful Valuation Strategy In Deregulated Markets
2. The Fundamentals of Valuation Techniques
a. Net Present Value Analysis (NPV)
b. Decision Analysis (DA)
c. Real Options Analysis (RO)
3. The Fundamentals of Real Options Analysis
a. Introduction to Real Options Analysis
i. Black-Scholes, Binomial Trees, and GARCH Models
Application:
Comparing the results of Black-Scholes, Binomial Trees and Simulation in Valuing Distributed
Detailed Example Using Three Seperate Real Option Approaches to Value Energy Assets
b. Details of Option Model Implementation
i. A Generating Unit as a Strip of Options on a Btu Spread
ii. Measuring Hidden Value in Uncertainty and Optionality
Application:
Comparing Power Plant Value from ProSym Marginal Cost Analysis vs. Real Option Competitive Price Analysis
Example Comparing Base-load, Mid-Merit and Peaking Units
c. Monte Carlo Simulation of Stochastic Prices
i. What is Volatility
ii. Modeling Volatility
Quantitative Models –
a. Geometric Brownian Motion
b. Mean Reversion
c. Markov Regime Switching
d. Jump Diffusion
e. AR(3) GARCH(1,1)
Implied Volatility form Black-Scholes Model
iii. Estimating Volatility
Software Considerations
Choosing Explanatory Variables
Model Selection Criteria
Misspecification
d. The Challenge of Forward Price Simulation
e. Mark-to Market via Forward Price Hammers
f. Hourly Unit Commitment and Dispatch Under Price Uncertainty
Application:
Developing Optimal Spark Spread "Turn On" and "Turn Off" Boundaries
Using the Unit Commitment Model to Determine an Optimal Operation Schedule
Incorporating Engineering Constraints
Incorporating Rational Dispatch Behavior
Application:
Valuing Generation Assets Using Real Option Competitive Price Analysis
Step-by-Step Valuation Example for a Portfolio of Generation Assets
Application:
Valuing Ancillary Services
Example of Valuing Expected Revenue from Southern California Ancillary Services Markets
Application:
Minimizing Price Risk through Operational Design Flexibility
Example of Valuing the Option of Installing Duel Fuel Capability
