신재생에너지 (New & Renewable Energy)

  • 제10권1호
  • /
  • Pages.41-49
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  • 2014
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  • 1738-3935(pISSN)
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  • 2713-9999(eISSN)
한국신·재생에너지학회 (Korean Society for New and Renewable Energy)
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발전량, 가격, 장기금리 변동성을 기초로 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

  • 김영경 (태광파워홀딩스) ;
  • 장병만 (서울과학기술대학교 글로벌융합산업공학과)
  • 투고 : 2013.12.31
  • 심사 : 2014.03.27
  • 발행 : 2014.03.25
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초록

For a proper valuation of wind power project, it is necessary to consider volatilities of key parameters such as annual energy production, electricity sales price, and long term interest rate. Real option methodology allows to calculate option values of these parameters. Volatilities to be considered in wind project valuation are 1) annual energy production (AEP) estimation due 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 for commercial scale projects. Real option valuation turns out to be more than half of the sales value based on a case study for a FIT scheme wind project that was sold to a financial investor.

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참고문헌

  1. Ahn, J.Y., 2012, "A study on Valuation of Project Financing Business by Using Real Options Decision Tree Models", Catholic University.
  2. Chen, Chunhua. & Zhengnan Lu. 2011, "Analysis on the Strategy of Wind Power Investment under Uncertainty". International journal of nonlinear science, Vol 12 (pp 112-116).
  3. Dykes, Katherine, 2007, "Real Options for a Wind Farm in Wapakoneta, Ohio: Incorporating Uncertainty into Economic Feasibility Studies for Community Wind." World Wind Energy Conference.
  4. Hull, John, 2008, "Option, Futures, and Other Derivatives, 7th edition." Pearson Education Asia.
  5. Jang, Y.S., Lee, D.J., Oh, H.S., 2011, "Real option valuation of renewable energy projects",Korean Institute of Industrial Engineers / Korean Operations Research and Management Science Society, Spring 2011 Workshop, (pp 549-554).
  6. Jeon, Y.S., 2010, "The Development of Feed-in Tariff Pricing model and Application to Renewable Energy Certificate Weight using Real Option", Ajou University.
  7. Jeon, Y.S., Kim, H.T., 2010, "Feed-in Tariff calculation using real option approach : model derivation and application to photovoltaic generation", Korean Energy Economic Review Volume 9, Number 1, March 2010 (pp 25-53).
  8. Kim, K.N., 2012, "Applications and Valuations of Real options embedded in Solar value chain", Hongik University.
  9. Kim, K.T., Lee, D.J., 2010, "Evaluation of investment in wind energy R&D in Korea using real option valuation", Kyunghee University.
  10. Kim, Y.K., 2013, "A Real Option Valuation of Renewable Energy Projects as a Supplementary Rail Project", Seoul National University of Science and Technology.
  11. Park, B.J., 2009, "Real option and valuation under uncertainties : Based on IT projects", Sigma Press.
  12. Yoon, W.C., 2001, "Energy project valuation using real option pricing theory", Korea Energy Economics Institute.

피인용 문헌

  1. 실물옵션 기법을 활용한 신재생에너지사업 경제성분석에 관한 연구 vol.18, pp.2, 2014, https://doi.org/10.6106/kjcem.2017.18.2.091