A Framework Using Two-Factor Price Lattices for Generation Asset Valuation - Tseng, Chung-Li; Lin, Kyle Y (Operations research, 2007)
Keywords: Analysis; Applied sciences; Approximation; asset pricing; Dynamic programming; Electric power plants; Electric power production; Electricity; Electricity prices; energy; Exact sciences and technology; Expected values; finance; Fuels; Lattice theory; Market prices; Mathematical lattices; Mathematical moments; Methods; Natural gas; natural resources; Operational research and scientific management; Operational research. Management science; Portfolio theory; Power plants; real options; Real options analysis; Sensitivity analysis; Startup costs; Stochastic models; Studies; Valuation; United States; Branching; Natural resources; natural resources: energy; finance: asset pricing; Stochastic model; Electric power plant; Itô equation; Sensitivity analysis; Probabilistic approach; Finance; real options; Optimization; Lattice; Real option; Stochastic integral; Stochastic programming; Energy resources; Electrical network; Refining; Fuel; Pricing; Discrete time; Profit; Feasibility; Dynamic programming