Publication Cover
The Engineering Economist
A Journal Devoted to the Problems of Capital Investment
Volume 55, 2010 - Issue 3
198
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

Switch, Switch, Switch! A Regime-Switching Option-Based Model for Valuing a Tolling Agreement

Pages 268-304 | Published online: 08 Sep 2010

REFERENCES

  • Bollen , N. P.B. 1998 . Valuing options in regime-switching models . Journal of Derivatives , 6 : 38 – 49 .
  • Bollen , N. P.B. 1999 . Real options and product life cycles . Management Science , 45 : 670 – 684 .
  • Brennan , M. J. and Schwartz , E. S. 1985a . A new approach to evaluating natural resource investments . Midland Corporate Finance Journal , 3 : 37 – 47 .
  • Brennan , M. J. and Schwartz , E. S. 1985b . Evaluating natural resource investments . Journal of Business , 58 : 135 – 157 .
  • Burger , M. , Klar , B. , Muller , A. and Schindlmayr , G. 2004 . A spot market model for pricing derivatives in electricity markets . Quantitative Finance , 4 : 109 – 122 .
  • Deng , S. J. and Oren , S. S. 2006 . Electricity derivatives and risk management . Energy , 31 : 940 – 953 .
  • Deng , S. J. and Xia , Z. 2006 . A real options approach for pricing electricity tolling agreements . International Journal of Information Technology and Decision Making , 5 ( 3 ) : 421 – 436 .
  • Huisman , R. and Mahieu , R. 2003 . Regime jumps in electricity prices . Energy Economics , 25 ( 5 ) : 425 – 430 .
  • Kulatilaka , N. and Trigeorgis , L. 1994 . The general flexibility to switch: real options revisited . The International Journal of Finance , 6 ( 2 )
  • Longstaff , F. A. and Schwartz , E. Z. 2001 . Valuing American Options by Simulation: A Simple Least-Squares Approach . The Review of Financial Studies , 14 ( 1 ) : 113 – 147 .
  • McWilliams , M. L. and Wilkinson , J. M.T. 2003 . “ Tolling valuation and strategies for Powerex Corp ” . MBA thesis, Simon Fraser University, Vancouver, BC, Canada .
  • Moel , A. and Tufano , P. 2002 . When are real options exercised? An empirical study of mine closings . The Review of Financial Studies , 15 ( 1 ) : 35 – 64 .
  • Swinand , G. P. , Rufin , C. and Sharma , C. 2005 . Valuing assets using real options: an application to deregulated electricity markets . Journal of Applied Corporate Finance , 17 ( 2 ) : 55 – 67 .
  • Trigeorgis , L. 1996 . Real Options. Managerial Flexibility and Strategy in Resource Allocation , Cambridge, MA : MIT Press .
  • Unger , G. 2002 . “ Hedging strategy and electricity contract engineering ” . Zurich : Ph.D. thesis, Swiss Federal Institute of Technology .
  • Union for the Coordination of Transmission of Electricity (UCTE) . 2006 . Statistical Report September, 2007
  • White , D. E. , Poats , R. S. and Borghi , M. J. 2000 . The role of volatility value in power plant financing . Journal of Project Finance , 6 ( 2 ) : 23 – 31 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.