BIFUEL CONVERSION OF THERMAL POWER PLANTS UNDER UNCERTAINTY: A REAL OPTIONS APPROACH / CONVERSÃO DE TERMELÉTRICAS PARA BI-COMBUSTÍVEL EM AMBIENTE DE INCERTEZA: UMA ABORDAGEM POR OPÇÕES REAIS

AUTOR(ES)
DATA DE PUBLICAÇÃO

2008

RESUMO

In Brazil, despite the predominant participation of hydro power plants, some years ago, due to Thermo Power Priority Program (PPT), a large number of Natural Gaspowered plants were implanted. A lot of uncertainties are imposed to the players in the Brazilian Power Market, and one more risk arises: the Natural Gas offer. The bi-fuel conversion arises as an option to rule out this risk, since it allows the use of diesel as alternative fuel to the plant. Because of the many uncertainties presented, traditional techniques of economics and financial analysis are limited to value this investment and its operational flexibilities. Real Options Theory is proposed to value this investment, since it is able to deal more appropriately with the uncertainties and flexibilities. Operational options can be seen as a sequence of European Call Options, considering the conversion as a Switch-Input Real Option offered to the Thermo Power Plant¿s owner. The main objective of this paper is to increase this option¿s value, to a plant located in the Brazilian Southeast Subsystem, indicating in each case, the premium that the player would be willing to pay for the conversion technology. Monte Carlo Simulation was used as a valuation method, for the plant¿s cash-flow model, considering the following variables and uncertainties: dispatch and contract level, contract energy and spot prices. Fuel costs are assumed to follow a Brownian Geometric Motion. The possibility of payment of fines to the Eletricity Regulatory Agency (ANEEL) in case of the power plant be dispatch by the Brazilian ISO (ONS) and not delivery energy to the system because of fuel constraints is also considered. Finally, we present sensitivity analysis.

ASSUNTO(S)

engenharia eletrica opcoes reais real options monte carlo simulation electrical enginnering simulacao de monte carlo

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