발전량, 가격, 장기금리 변동성을기초로 한 풍력발전사업의 실물옵션 가치평가
Real Option Valuation of a Wind Power Project Based on the Volatilities of Electricity Generation, Tariff and Long Term Interest Rate
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For a proper valuation of wind power project, it is necessary to consider volatilities of key parameters such asannual energy production, electricity sales price, and long term interest rate. Real option methodology allows to calculate optionvalues of these parameters. Volatilities to be considered in wind project valuation are 1) annual energy production (AEP) estimationdue to meteorological variation and estimation errors in wind speed distribution, 2) changes in system marginal price (SMP),and 3) interest rate fluctuation of project financing which provides refinancing option to be exercised during a loan tenor forcommercial scale projects. Real option valuation turns out to be more than half of the sales value based on a case study fora FIT scheme wind project that was sold to a financial investor.
Abstract
For a proper valuation of wind power project, it is necessary to consider volatilities of key parameters such asannual energy production, electricity sales price, and long term interest rate. Real option methodology allows to calculate optionvalues of these parameters. Volatilities to be considered in wind project valuation are 1) annual energy production (AEP) estimationdue to meteorological variation and estimation errors in wind speed distribution, 2) changes in system marginal price (SMP),and 3) interest rate fluctuation of project financing which provides refinancing option to be exercised during a loan tenor forcommercial scale projects. Real option valuation turns out to be more than half of the sales value based on a case study fora FIT scheme wind project that was sold to a financial investor.
참고문헌 (12)
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