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	Provedor de dados AgEcon (1) Autor Ethier, Robert G. (1) Palavra-chave Asset valuation (1) Electricity deregulation (1) Jump processes (1) Marketing (1) Mean reversion (1) Real options (1) Mais... Tipo do documento Working or Discussion Paper (1) Ano 1999 (1) País United States (1) Idioma Inglês (1)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 1 Primeira ... 1 ... Última VALUING ELECTRICITY ASSETS IN DEREGULATED MARKETS: A REAL OPTIONS MODEL WITH MEAN REVERSION AND JUMPS AgEcon Ethier, Robert G.. Valuation 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. Tipo: Working or Discussion Paper Palavras-chave: Real options; Electricity deregulation; Mean reversion; Jump processes; Asset valuation; Marketing. Ano: 1999 URL: http://purl.umn.edu/7222 Registros recuperados: 1 Primeira ... 1 ... Última

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