Title :
Optimal investment in power plant under price uncertainty
Author :
Yamamoto, Yoshihiro ; Tezuka, Tetsuo
Author_Institution :
Graduate Sch. of Energy Sci., Kyoto Univ., Japan
Abstract :
The real option approach draws much attention toward an optimal investment problem under uncertainty. This paper shows that the optimal investment rule obtained by the method is strongly dependent on the process employed as the model of price fluctuations. The mean reverting process would be more reasonable than the geometric Brownian motion when considering the characteristics of the price fluctuation.
Keywords :
Brownian motion; decision making; decision support systems; geometric Brownian motion; mean reverting process; optimal investment; power plant; price fluctuations; price uncertainty; Decision making; Electricity supply industry; Fluctuations; Investments; Petroleum; Power generation; Power markets; Stochastic processes; Timing; Uncertainty;
Conference_Titel :
SICE 2002. Proceedings of the 41st SICE Annual Conference
Print_ISBN :
0-7803-7631-5
DOI :
10.1109/SICE.2002.1195376
