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
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/15108
Acceder
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network_acronym_str CONICETDig
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network_name_str CONICET Digital (CONICET)
spelling 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 Técnicas2025-09-29T09:50:12Zoai: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:34982025-09-29 09:50:12.946CONICET 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
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.069144

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