Project Value Assessment of Thermal Power Plant based on RNPV Probit Model Considering Real Option

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概要

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• Deregulation of electric power utilities are processing in the world. As the uncertainties of the business environment are increasing, return for asset investment is also uncertain. Therefore, the electric utilities should evaluate the appropriate value of the capital investment. When only the execution of the project is observed, we have proposed a risk assessment method for generation investment by the probit model (RNPV probit model) which simplifies the evaluation method by the net present value based on utility indifference pricing. In this paper, RNPV probit model is applied to asset evaluation of thermal power plant considering the option to abandon, a kind of real option.

著者

• 三澤 哲也

  名古屋市立大学大学院経済学研究科

• 宮内 肇

  Graduate School of Science and Technology, Kumamoto University

• 廣瀬 高史

  Graduate School of Science and Technology, Kumamoto University

• 三澤 哲也

  Graduate School of Economics, Nagoya City University

関連論文

• 限界効用による気温オプションの価格付けとリスク感度分析
• Project Value Assessment of Thermal Power Plant based on RNPV Probit Model Considering Real Option

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