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Flexibility Value of Czech Power-Generation

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  • Jan Vlachý
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    Abstract

    The power-generation industry offers numerous opportunities to apply real options. This paper uses current empirical market data to estimate the value of flexibility in the Czech energy sector, which can serve to compare available technologies, and support various investment decisions. The model also helps to explain particular investment trends.

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    Bibliographic Info

    Article provided by University of Economics, Prague in its journal Ekonomika a Management.

    Volume (Year): 2008 (2008)
    Issue (Month): 2 ()
    Pages:

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    Handle: RePEc:prg:jnleam:v:2008:y:2008:i:2:id:28

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    Related research

    Keywords: Reálné opce; Real options; Historická simulace.; Historical Simulation; Energetika; Power-Generation;

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    References

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    1. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    2. Laurikka, Harri, 2006. "Option value of gasification technology within an emissions trading scheme," Energy Policy, Elsevier, vol. 34(18), pages 3916-3928, December.
    3. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
    4. Alvaro Cartea & Marcelo Gustavo Figueroa, 2005. "Pricing in Electricity Markets: a Mean Reverting Jump Diffusion Model with Seasonality," Birkbeck Working Papers in Economics and Finance 0507, Birkbeck, Department of Economics, Mathematics & Statistics.
    5. Fama, Eugene F & French, Kenneth R, 1987. "Commodity Futures Prices: Some Evidence on Forecast Power, Premiums,and the Theory of Storage," The Journal of Business, University of Chicago Press, vol. 60(1), pages 55-73, January.
    6. Myers, Stewart C., 1977. "Determinants of corporate borrowing," Journal of Financial Economics, Elsevier, vol. 5(2), pages 147-175, November.
    7. Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-73, July.
    8. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    9. Boyle, Phelim P., 1977. "Options: A Monte Carlo approach," Journal of Financial Economics, Elsevier, vol. 4(3), pages 323-338, May.
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