Study on Real Options Model of Operating Capital Value of Generator for Spinning Reserve and Risk Assessment Based on Monte Carlo Methods

Author

MA, Xin

Author_Institution

Sch. of Manage. & Econ., North China Univ. of Water Conservancy & Electr. Power, Zhengzhou

Volume

1

fYear

2008

fDate

20-22 Oct. 2008

Firstpage

726

Lastpage

731

Abstract

Electricity market has complex market rules, and its operation with great uncertainty. In this paper, the real options model of operating capital value of generator for spinning reserve is constructed under uncertainty market conditions including uncertainty electricity price, reserve price and fuel price. VaR concept is introduced, and quantitative risk assessment of the operating capital value of generator based on Monte Carlo simulation methods is done.

Keywords

Monte Carlo methods; electric generators; power markets; power system economics; pricing; risk management; Monte Carlo methods; VaR concept; electricity market; fuel price; generator; operating capital value; quantitative risk assessment; real options model; reserve price; spinning reserve; uncertainty electricity price; Biological system modeling; Contracts; Cost accounting; Electricity supply industry; Fuels; Power generation; Power system modeling; Risk management; Spinning; Uncertainty;

fLanguage

English

Publisher

ieee

Conference_Titel

Intelligent Computation Technology and Automation (ICICTA), 2008 International Conference on

Conference_Location

Hunan

Print_ISBN

978-0-7695-3357-5

Type

conf

DOI

10.1109/ICICTA.2008.174

Filename

4659583