A Stochastic Programming Model for Evaluating Real Options in Wind Power Investment Projects

Han Qin and L. K. Chu ()
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Han Qin: The University of Hong Kong
L. K. Chu: The University of Hong Kong

Chapter Chapter 9 in The 19th International Conference on Industrial Engineering and Engineering Management, 2013, pp 81-91 from Springer

Abstract: Abstract This study is concerned with the evaluation of wind power projects under the Clean Development Mechanism (CDM), not only for the purpose of CDM verification, but also for the financing of the project. A real options model is developed in this paper to evaluate the investment decisions on wind power project. The model obtains the real value of the project and determines the optimal time to invest wind power project. Stochastic programming is employed to evaluate the real options model, and a scenario tree, generated by path-based sampling method and LHS discretization, is constructed to approximate the original stochastic program.

Keywords: Clean Development Mechanism (CDM); Stochastic programming; Real options; Wind power investment (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-38391-5_9

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DOI: 10.1007/978-3-642-38391-5_9

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