Publication Cover
The Engineering Economist
A Journal Devoted to the Problems of Capital Investment
Volume 65, 2020 - Issue 4
220
Views
4
CrossRef citations to date
0
Altmetric
Articles

Valuing flexibility in transmission expansion planning from the perspective of a social planner: A methodology and an application to the Chilean power system

, &

References

  • Abdel Sabour, S. A., & Poulin, R. (2006). Valuing real capital investments using the least-squares Monte Carlo method. The Engineering Economist, 51(2), 141–160. doi:10.1080/00137910600705210
  • Africa, S., Kroniger, D., & Madlener, R. (2013). Hydrogen storage for wind parks—A real options evaluation for optimal investment. Elsevier, 136, 1–11.
  • Aguado, J. A., De La Torre, S., Contreras, J., Conejo, A. J., & Martínez, A. (2012). Market-driven dynamic transmission expansion planning. Electric Power Systems Research, 82(1), 88–94. doi:10.1016/j.epsr.2011.09.001
  • Andrews, C. J. (1995). Evaluating risk management strategies in resource planning. IEEE Transactions on Power Systems, 10(1), 420–426. doi:10.1109/59.373966
  • Banco Central de Chile. (2015). Informe de Politica Monetaria. Retrieved from https://www.bcentral.cl/areas/politica-monetaria/informe-de-politica-monetaria-ipom
  • Barbulescu, C., Kilyeni, S., Vuc, G., Lustrea, B., Precup, R. E., & Preitl, S. (2009). Software tool for power transfer distribution factors (PTDF) computing within the power systems. IEEE Eurocon 2009, Eurocon 2009 (pp. 517–524). St.-Petersburg, Russia. doi:10.1109/EURCON.2009.5167681
  • Biondi, T., & Moretto, M. (2015). Solar grid parity dynamics in Italy: A real option approach. Energy, 80, 293–302. doi:10.1016/j.energy.2014.11.072
  • Black, F., & Scholes, M. (1973). The pricing of options and corporate libilities. Journal of Political Economy, 81(3), 637–654. doi:10.1086/260062
  • Blanco, G., Olsina, F., & Garces, F. (2012). Transmission investments under uncertainty: The impact of flexibility on decision-making. Power and Energy Society General Meeting, 2012 IEEE (pp. 1–8). San Diego, California, USA. doi:10.1109/PESGM.2012.6345169
  • Blanco, G., Olsina, F., Garcés, F., & Rehtanz, C. (2011). Real option valuation of FACTS investments based on the least square Monte Carlo method. IEEE Transactions on Power Systems, 26(3), 1389–1398. doi:10.1109/TPWRS.2010.2094211
  • Boyle, P. P. (1977). Options: A Monte Carlo approach. Journal of Financial Economics, 4(3), 323–338. doi:10.1016/0304-405X(77)90005-8
  • Campbell, H. F., & Brown, R. P. (2003). Benefit-cost analysis: Financial and economic appraisal using spreadsheets. Cambridge University Press.
  • Coordinador Eléctrico Nacional. (2016a). Operación Real – CDEC SIC. Retrieved from https://sic.coordinador.cl/en/informes-y-documentos/fichas/operacion-real/
  • CDEC SING. (2016). Operación real. Coordinador Eléctrico Nacional. (2016b). Operación Real – CDEC SING. Retrieved from http://www.cdec-sing.cl/pls/portal/cdec.pck_web_coord_elec.sp_pagina?p_id=1019
  • Cohen, J. B., Black, F., & Scholes, M. (1972). The valuation of option contracts and a test of market efficiency. The Journal of Finance, 27(2), 399–417. doi:10.1111/j.1540-6261.1972.tb00969.x
  • Comision Nacional de Energia. (2016). Estadísticas. Retrieved from https://www.cne.cl/estadisticas/
  • Copeland, T., & Antikarov, V. (2001). Real options—A practitioner’s guide. New York, NY: Texere.
  • Cox, J., Ross, S., & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics, 7(3), 229–263. doi:10.1016/0304-405X(79)90015-1
  • Damodaran, A. (2002). The promise of real options. Journal of Applied Corporate Finance, 13(2), 29–44. doi:10.1111/j.1745-6622.2000.tb00052.x
  • Damodaran, A. (2016). “Why do risk free rates vary across currencies? January 2016 Risk Free rates”.
  • European Commission. (2014). Guide to cost-benefit analysis of investment projects. Retrieved from https://ec.europa.eu/regional_policy/sources/docgener/studies/pdf/cba_guide.pdf
  • Fatone, L., Mariani, F., Recchioni, M. C., & Zirilli, F. (2015). The Barone-Adesi Whaley formula to price American options revisited. Applied Mathematics, 06(02), 382–402. doi:10.4236/am.2015.62036
  • Frayer, J., & Uludere, N. Z. (2001). What is it worth? Application of real options theory to the valuation of generation assets. The Electricity Journal, 14(8), 40–51. doi:10.1016/S1040-6190(01)00237-8
  • Gollier, C. (2002). Discounting an uncertain future. Journal of Public Economics, 85(2), 149–166. doi:10.1016/S0047-2727(01)00079-2
  • Hemmati, R., Hooshmand, R.-A., & Khodabakhshian, A. (2013). State-of-the-art of transmission expansion planning: Comprehensive review. Renewable and Sustainable Energy Reviews, 23, 312–319. doi:10.1016/j.rser.2013.03.015
  • Henao, A., Sauma, E., Reyes, T., & Gonzalez, A. (2017). What is the value of the option to defer an investment in transmission expansion planning? An estimation using real options. Energy Economics, 65, 194–207. doi:10.1016/j.eneco.2017.05.001
  • Interchile, S. A. (2015). Estudio de Impacto Ambiental: “Plan de Expansión Chile LT 2x500 kV Cardones - Polpaico.”
  • Kirschen, D. S., & Strbac, G. (2004). Fundamentals of power system economics. Hoboken, US: John Wiley & Sons.
  • Konstantelos, I., & Strbac, G. (2015). Valuation of flexible transmission investment options under uncertainty. IEEE Transactions on Power Systems, 30(2), 1047–1055. doi:10.1109/TPWRS.2014.2363364
  • Kucsera, D., & Rammerstorfer, M. (2014). Regulation and grid expansion investment with increased penetration of renewable generation. Resource and Energy Economics, 37, 184–200. doi:10.1016/j.reseneeco.2013.11.016
  • Latorre, G., Cruz, R. D., Areiza, J. M., & Villegas, A. (2003). Classification of publications and models on transmission expansion planning. IEEE Transactions on Power Systems, 18(2), 938–946. doi:10.1109/TPWRS.2003.811168
  • Lee, C. W., Ng, S. K., Zhong, J., & Wu, F. F. (2006). Transmission expansion planning from past to future. 2006 IEEE PES Power Systems Conference and Exposition (pp. 257–265). Atlanta, Georgia, US. doi:10.1109/PSCE.2006.296317
  • Longstaff, F., & Schwartz, E. (2001). Valuing American options by simulation: A simple least-squares approach. Review of Financial Studies, 14(1), 113–147. doi:10.1093/rfs/14.1.113
  • Lopez, S., Aguilera, A., & Blanco, G. (2013). Transmission expansion planning under uncertainty: An approach based on real option and game theory against nature. IEEE Latin America Transactions, 11(1), 566–571. doi:10.1109/TLA.2013.6502862
  • Molina, J. D., & Rudnick, H. (2010). Transmission of electric energy: A bibliographic review. IEEE Latin America Transactions, 8(3), 245–258. doi:10.1109/TLA.2010.5538399
  • Munoz, F. D., Hobbs, B. F., Ho, J. L., & Kasina, S. (2014). An engineering-economic approach to transmission planning under market and regulatory uncertainties: WECC case study. IEEE Transactions on Power Systems, 29(1), 307–317. doi:10.1109/TPWRS.2013.2279654
  • Myers, S. C. (1977). Determinants of corporate borrowing. Journal of Financial Economics, 5(2), 147–175. doi:10.1016/0304-405X(77)90015-0
  • Ramanathan, B., & Varadan, S. (2006). Analysis of transmission investments using real options. 2006 IEEE PES Power Systems Conference and Exposition (pp. 266–273). Atlanta, Georgia, US. doi:10.1109/PSCE.2006.296318
  • Sauma, E. E., & Oren, S. S. (2007). Economic criteria for planning transmission investment in restructured electricity markets. IEEE Transactions on Power Systems, 22(4), 1394–1405. doi:10.1109/TPWRS.2007.907149
  • Superintendencia de Electricidad y Combustibles. (2016). Concesiones Eléctricas Definitivas. Retrieved from https://www.sec.cl/concesiones-electricas-definitivas/
  • Subsecretaría de Evaluación Social. (2016). Metodologías y Precios Sociales – Clasificación Vigente. Retrieved from http://sni.ministeriodesarrollosocial.gob.cl/evaluacion-iniciativas-de-inversion/evaluacion-ex-ante/metodologias-y-precios-sociales-nuevos-sectores/
  • Tandberg, M., Fleten, S., Linnerud, K., & Moln, P. (2016). Green electricity investment timing in practice: Real options or net present value? Energy, 116, 498–506. doi:10.1016/j.energy.2016.09.114
  • Trigeorgis, L. (1996). Real options: Managerial flexibility and strategy in resource allocation. Cambridge, MA: MIT Press.
  • Wang, C. M., Jiang, C. W., & Chen, Q. M. (2007). Research on spot power market equilibrium model considering the electric power network characteristics. International Journal of Electrical Power & Energy Systems, 29(6), 439–444. doi:10.1016/j.ijepes.2006.11.001
  • Whaley, R. E. (1982). Valuation of American call options on dividend-paying stocks. Empirical tests. Journal of Financial Economics, 10(1), 29–58. doi:10.1016/0304-405X(82)90029-0
  • Xian, H., Colson, G., Mei, B., & Wetzstein, M. E. (2015). Co-firing coal with wood pellets for U.S. electricity generation: A real options analysis. Energy Policy, 81, 106–116. doi:10.1016/j.enpol.2015.02.026
  • Zhao, J. H., Dong, Z. Y., Lindsay, P., & Wong, K. P. (2009). Flexible transmission expansion planning with uncertainties in an electricity market. IEEE Transactions on Power Systems, 24(1), 479–488. doi:10.1109/TPWRS.2008.2008681

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.