リアルオプションによる海外発電プラントの投資価値評価

カテゴリ: 論文誌(論文単位)

グループ名: 【B】電力・エネルギー部門

発行日: 2012/01/01

タイトル(英語): Evaluation of Foreign Investment in Power Plants using Real Options

著者名: 加藤　守利（(株) テプコシステムズ），周　意誠（(株) テプコシステムズ）

著者名(英語): Moritoshi Kato (Tepco Systems Corporation), Yicheng Zhou (Tepco Systems Corporation)

キーワード: 経済性評価，電力市場，海外投資，リアルオプション，リスク，スパークスプレッド　　economic evaluation，electricity market，foreign investment，real options，risk，spark spread

要約(英語): This paper proposes new methods for evaluating foreign investment in power plants under market uncertainty using a real options approach. We suppose a thermal power plant project in a deregulated electricity market. One of our proposed methods is that we calculate the cash flow generated by the project in a reference year using actual market data to incorporate periodic characteristics of energy prices into a yearly cash flow model. We make the stochastic yearly cash flow model with the initial value which is the cash flow in the reference year, and certain trend and volatility. Then we calculate the real options value (ROV) of the project which has abandonment options using the yearly cash flow model. Another our proposed method is that we evaluate foreign currency/domestic currency exchange rate risk by representing ROV in foreign currency as yearly pay off and exchanging it to ROV in domestic currency using a stochastic exchange rate model. We analyze the effect of the heat rate and operation and maintenance costs of the power plant on ROV, and evaluate exchange rate risk through numerical examples. Our proposed method will be useful for the risk management of foreign investment in power plants.

本誌: 電気学会論文誌B（電力・エネルギー部門誌） Vol.132 No.1 （2012） 特集：平成23年電力・エネルギー部門大会

本誌掲載ページ: 2023/02/08 p

原稿種別: 論文／日本語

電子版へのリンク: https://www.jstage.jst.go.jp/article/ieejpes/132/1/132_1_2/_article/-char/ja/