Real option valuation of FACTS investments based on the least square Monte Carlo method
- Autores
- Blanco, Gerardo; Garces, Francisco Felipe; Olsina, Fernando Gabriel; Rehtanz, Christian
- Año de publicación
- 2011
- Idioma
- inglés
- Tipo de recurso
- artículo
- Estado
- versión publicada
- Descripción
- Efficient and well-timed investments in electric transmission networks that cope with the large ongoing power market uncertainties are currently an open issue of significant research interest. Strategic flexibility for seizing opportunities and cutting losses contingent upon an unfavorable unfolding of the long-term uncertainties is an attribute of enormous value when assessing irreversible investments. In this sense, flexible AC transmission systems (FACTS) devices appear as an effective manner of adding flexibility to the transmission expansion planning. This article proposes an investment valuation approach which properly assesses the option value of deferring transmission lines investments whereas gaining flexibility by investing in FACTS devices. The flexibility provided by FACTS investments—option to abandon and to relocate—is assessed through a real option valuation approach based on the novel least square Monte Carlo method. In order to illustrate the practicability of the proposed valuation approach, a traditional expansion strategy (lines) and a flexible investment strategy (lines and FACTS) are compared in a real study case. The article shows that a proper combination of lines and FACTS leads to efficient investments by allowing a progressive adaptation of the transmission grid to the changing scenarios.
Fil: Blanco, Gerardo. Universidad Nacional de Asuncion; Paraguay
Fil: Garces, Francisco Felipe. Consejo Nacional de Investigaciones Cientificas y Tecnicas. Centro Cientifico Tecnologico San Juan. Instituto de Energia Electrica; Argentina
Fil: Olsina, Fernando Gabriel. Consejo Nacional de Investigaciones Cientificas y Tecnicas. Centro Cientifico Tecnologico San Juan. Instituto de Energia Electrica; Argentina
Fil: Rehtanz, Christian. Universitat Dortmund; Alemania - Materia
-
Dynamic Programming
Fexibility
Risk Analysis
Stochastic Simulation
Transmission Planning
Uncertainty - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
- Repositorio
- Institución
- Consejo Nacional de Investigaciones Científicas y Técnicas
- OAI Identificador
- oai:ri.conicet.gov.ar:11336/15108
Ver los metadatos del registro completo
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Real option valuation of FACTS investments based on the least square Monte Carlo methodBlanco, GerardoGarces, Francisco FelipeOlsina, Fernando GabrielRehtanz, ChristianDynamic ProgrammingFexibilityRisk AnalysisStochastic SimulationTransmission PlanningUncertaintyhttps://purl.org/becyt/ford/2.2https://purl.org/becyt/ford/2Efficient and well-timed investments in electric transmission networks that cope with the large ongoing power market uncertainties are currently an open issue of significant research interest. Strategic flexibility for seizing opportunities and cutting losses contingent upon an unfavorable unfolding of the long-term uncertainties is an attribute of enormous value when assessing irreversible investments. In this sense, flexible AC transmission systems (FACTS) devices appear as an effective manner of adding flexibility to the transmission expansion planning. This article proposes an investment valuation approach which properly assesses the option value of deferring transmission lines investments whereas gaining flexibility by investing in FACTS devices. The flexibility provided by FACTS investments—option to abandon and to relocate—is assessed through a real option valuation approach based on the novel least square Monte Carlo method. In order to illustrate the practicability of the proposed valuation approach, a traditional expansion strategy (lines) and a flexible investment strategy (lines and FACTS) are compared in a real study case. The article shows that a proper combination of lines and FACTS leads to efficient investments by allowing a progressive adaptation of the transmission grid to the changing scenarios.Fil: Blanco, Gerardo. Universidad Nacional de Asuncion; ParaguayFil: Garces, Francisco Felipe. Consejo Nacional de Investigaciones Cientificas y Tecnicas. Centro Cientifico Tecnologico San Juan. Instituto de Energia Electrica; ArgentinaFil: Olsina, Fernando Gabriel. Consejo Nacional de Investigaciones Cientificas y Tecnicas. Centro Cientifico Tecnologico San Juan. Instituto de Energia Electrica; ArgentinaFil: Rehtanz, Christian. Universitat Dortmund; AlemaniaInstitute Of Electrical And Electronics Engineers2011-08info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/15108Blanco, Gerardo; Garces, Francisco Felipe; Olsina, Fernando Gabriel; Rehtanz, Christian; Real option valuation of FACTS investments based on the least square Monte Carlo method; Institute Of Electrical And Electronics Engineers; Ieee Transactions On Power Systems; 26; 3; 8-2011; 1389-13980885-8950enginfo:eu-repo/semantics/altIdentifier/doi/10.1109/TPWRS.2010.2094211info:eu-repo/semantics/altIdentifier/url/http://ieeexplore.ieee.org/document/5680996/info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-03T09:52:27Zoai:ri.conicet.gov.ar:11336/15108instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-03 09:52:27.32CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse |
dc.title.none.fl_str_mv |
Real option valuation of FACTS investments based on the least square Monte Carlo method |
title |
Real option valuation of FACTS investments based on the least square Monte Carlo method |
spellingShingle |
Real option valuation of FACTS investments based on the least square Monte Carlo method Blanco, Gerardo Dynamic Programming Fexibility Risk Analysis Stochastic Simulation Transmission Planning Uncertainty |
title_short |
Real option valuation of FACTS investments based on the least square Monte Carlo method |
title_full |
Real option valuation of FACTS investments based on the least square Monte Carlo method |
title_fullStr |
Real option valuation of FACTS investments based on the least square Monte Carlo method |
title_full_unstemmed |
Real option valuation of FACTS investments based on the least square Monte Carlo method |
title_sort |
Real option valuation of FACTS investments based on the least square Monte Carlo method |
dc.creator.none.fl_str_mv |
Blanco, Gerardo Garces, Francisco Felipe Olsina, Fernando Gabriel Rehtanz, Christian |
author |
Blanco, Gerardo |
author_facet |
Blanco, Gerardo Garces, Francisco Felipe Olsina, Fernando Gabriel Rehtanz, Christian |
author_role |
author |
author2 |
Garces, Francisco Felipe Olsina, Fernando Gabriel Rehtanz, Christian |
author2_role |
author author author |
dc.subject.none.fl_str_mv |
Dynamic Programming Fexibility Risk Analysis Stochastic Simulation Transmission Planning Uncertainty |
topic |
Dynamic Programming Fexibility Risk Analysis Stochastic Simulation Transmission Planning Uncertainty |
purl_subject.fl_str_mv |
https://purl.org/becyt/ford/2.2 https://purl.org/becyt/ford/2 |
dc.description.none.fl_txt_mv |
Efficient and well-timed investments in electric transmission networks that cope with the large ongoing power market uncertainties are currently an open issue of significant research interest. Strategic flexibility for seizing opportunities and cutting losses contingent upon an unfavorable unfolding of the long-term uncertainties is an attribute of enormous value when assessing irreversible investments. In this sense, flexible AC transmission systems (FACTS) devices appear as an effective manner of adding flexibility to the transmission expansion planning. This article proposes an investment valuation approach which properly assesses the option value of deferring transmission lines investments whereas gaining flexibility by investing in FACTS devices. The flexibility provided by FACTS investments—option to abandon and to relocate—is assessed through a real option valuation approach based on the novel least square Monte Carlo method. In order to illustrate the practicability of the proposed valuation approach, a traditional expansion strategy (lines) and a flexible investment strategy (lines and FACTS) are compared in a real study case. The article shows that a proper combination of lines and FACTS leads to efficient investments by allowing a progressive adaptation of the transmission grid to the changing scenarios. Fil: Blanco, Gerardo. Universidad Nacional de Asuncion; Paraguay Fil: Garces, Francisco Felipe. Consejo Nacional de Investigaciones Cientificas y Tecnicas. Centro Cientifico Tecnologico San Juan. Instituto de Energia Electrica; Argentina Fil: Olsina, Fernando Gabriel. Consejo Nacional de Investigaciones Cientificas y Tecnicas. Centro Cientifico Tecnologico San Juan. Instituto de Energia Electrica; Argentina Fil: Rehtanz, Christian. Universitat Dortmund; Alemania |
description |
Efficient and well-timed investments in electric transmission networks that cope with the large ongoing power market uncertainties are currently an open issue of significant research interest. Strategic flexibility for seizing opportunities and cutting losses contingent upon an unfavorable unfolding of the long-term uncertainties is an attribute of enormous value when assessing irreversible investments. In this sense, flexible AC transmission systems (FACTS) devices appear as an effective manner of adding flexibility to the transmission expansion planning. This article proposes an investment valuation approach which properly assesses the option value of deferring transmission lines investments whereas gaining flexibility by investing in FACTS devices. The flexibility provided by FACTS investments—option to abandon and to relocate—is assessed through a real option valuation approach based on the novel least square Monte Carlo method. In order to illustrate the practicability of the proposed valuation approach, a traditional expansion strategy (lines) and a flexible investment strategy (lines and FACTS) are compared in a real study case. The article shows that a proper combination of lines and FACTS leads to efficient investments by allowing a progressive adaptation of the transmission grid to the changing scenarios. |
publishDate |
2011 |
dc.date.none.fl_str_mv |
2011-08 |
dc.type.none.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion http://purl.org/coar/resource_type/c_6501 info:ar-repo/semantics/articulo |
format |
article |
status_str |
publishedVersion |
dc.identifier.none.fl_str_mv |
http://hdl.handle.net/11336/15108 Blanco, Gerardo; Garces, Francisco Felipe; Olsina, Fernando Gabriel; Rehtanz, Christian; Real option valuation of FACTS investments based on the least square Monte Carlo method; Institute Of Electrical And Electronics Engineers; Ieee Transactions On Power Systems; 26; 3; 8-2011; 1389-1398 0885-8950 |
url |
http://hdl.handle.net/11336/15108 |
identifier_str_mv |
Blanco, Gerardo; Garces, Francisco Felipe; Olsina, Fernando Gabriel; Rehtanz, Christian; Real option valuation of FACTS investments based on the least square Monte Carlo method; Institute Of Electrical And Electronics Engineers; Ieee Transactions On Power Systems; 26; 3; 8-2011; 1389-1398 0885-8950 |
dc.language.none.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
info:eu-repo/semantics/altIdentifier/doi/10.1109/TPWRS.2010.2094211 info:eu-repo/semantics/altIdentifier/url/http://ieeexplore.ieee.org/document/5680996/ |
dc.rights.none.fl_str_mv |
info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-sa/2.5/ar/ |
eu_rights_str_mv |
openAccess |
rights_invalid_str_mv |
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/ |
dc.format.none.fl_str_mv |
application/pdf application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
Institute Of Electrical And Electronics Engineers |
publisher.none.fl_str_mv |
Institute Of Electrical And Electronics Engineers |
dc.source.none.fl_str_mv |
reponame:CONICET Digital (CONICET) instname:Consejo Nacional de Investigaciones Científicas y Técnicas |
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CONICET Digital (CONICET) |
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CONICET Digital (CONICET) |
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Consejo Nacional de Investigaciones Científicas y Técnicas |
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CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas |
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dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar |
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