Title :
Study on Real Options Model of Operating Capital Value of Generator for Spinning Reserve and Risk Assessment Based on Monte Carlo Methods
Author_Institution :
Sch. of Manage. & Econ., North China Univ. of Water Conservancy & Electr. Power, Zhengzhou
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;
Conference_Titel :
Intelligent Computation Technology and Automation (ICICTA), 2008 International Conference on
Conference_Location :
Hunan
Print_ISBN :
978-0-7695-3357-5
DOI :
10.1109/ICICTA.2008.174
