Application of the theory of real options in the evaluation of small central office hydroelectric plant / Aplicação da teoria de opções reais na avaliação de pequena central hidrelétrica

AUTOR(ES)
DATA DE PUBLICAÇÃO

2009

RESUMO

Nowadays, small entrepreneurs have been able to get permission to start small hidro power plant ("SHP") without economi support to implement it. This common practice in the electrical sector has important implicatins such as excessive construction delays and a speculative behavior that lead entrepreneurs to search SHPs to obtain the permissiona After granting the permission, the entrepreneurs can just opt to postpone the SHP construction for a certain period of time. Within the energy market fremework, this paper applies the real option theory in the business plan evaluation, adding the energy price volatility to the model during the period 2004-2008. The results suggest the option to the SHP construction after granting the permission to entrepreneurs has significative value because they could wait higher prices to sell energy or the own permission

ASSUNTO(S)

modelo binominal economia small hidropower plants risk neutral valuation pequenas centrais hidrelétricas avaliação neutra ao risco deferral options real option opções de postergar opções reais binominal model

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