Library

eCommons

 

VALUING ELECTRICITY ASSETS IN DEREGULATED MARKETS: A REAL OPTIONS MODEL WITH MEAN REVERSION AND JUMPS

Simple item page
dc.contributor.authorEthier, Robert G.
dc.date.accessioned2018-08-21T17:10:57Z
dc.date.available2018-08-21T17:10:57Z
dc.date.issued1999-02-01
dc.descriptionWP 1999-03 February 1999
dc.description.abstractValuation 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.
dc.identifier.urihttps://hdl.handle.net/1813/58044
dc.language.isoen_US
dc.publisherCharles H. Dyson School of Applied Economics and Management, Cornell University
dc.subjectreal options
dc.subjectelectricity deregulation
dc.subjectmean reversion
dc.subjectjump processes
dc.subjectasset valuation
dc.titleVALUING ELECTRICITY ASSETS IN DEREGULATED MARKETS: A REAL OPTIONS MODEL WITH MEAN REVERSION AND JUMPS
dc.typearticle
dcterms.licensehttp://hdl.handle.net/1813/57595

Files

Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Cornell_Dyson_wp9903.pdf
Size:
1.18 MB
Format:
Adobe Portable Document Format
Download

Collections

Dyson School Working Papers