Analytical assessment of wind power generation asset in restructured electricity industry

被引：2

作者：

Zhou, Hui ^{[1
]}

Hou, Yunhe ^{[2
]}

Wu, Yaowu ^{[1
]}

Yi, Haiqiong ^{[1
]}

Mao, Chengxiong ^{[1
]}

Chen, Gonggui ^{[3
]}

机构：

[1] Huazhong Univ Sci & Technol, Coll Elect & Elect Engn, Luoyu Rd 1037, Wuhan 430074, Peoples R China

[2] Tsinghua Univ, Tsinghua, Peoples R China

[3] Hubei Inst Natl, Wuhan, Peoples R China

来源：

2007 42ND INTERNATIONAL UNIVERSITIES POWER ENGINEERING CONFERENCE, VOLS 1-3 | 2007年

基金：

中国国家自然科学基金;

关键词：

wind power generation; asset evaluation; power market; mean reversion; CVaR;

D O I：

10.1109/UPEC.2007.4469102

中图分类号：

TE [石油、天然气工业]; TK [能源与动力工程];

学科分类号：

0807 ; 0820 ;

摘要：

An analytic approach using real option theory is proposed in this paper for evaluation of wind power generation asset investment in restructured electricity industry. The model for the mean reversion process with long-term periodic mean is employed to describe the special characteristics of electricity price such as fluctuation, uncertainty and periodicity. Analytic expressions for wind power generation output are derived. Based on the established price model and output model, the wind power generation asset to be invested is evaluated by adopting the approach of spark spread real option. Financial tools, such as Value at Risk (VaR) and Conditional Value at Risk (CVaR), are applied for risk assessment. The validity of the proposed method is illustrated by numerical simulation tests.

引用

页码：1086 / 1092

页数：7

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