EPC renewable project evaluation: a fuzzy real option pricing model

被引:5
作者
Gao, Hui [1 ]
Ding, Xiu-Hao [1 ]
Li, Shuncai [1 ]
机构
[1] Huazhong Univ Sci & Technol, Sch Management, Luoyu Rd 1037, Wuhan 430074, Hubei, Peoples R China
基金
中国国家自然科学基金;
关键词
Engineer-procure-construct (EPC) project; fuzzy number; real option; valuation; investment timing; GENERATION PROJECTS; INVESTMENT;
D O I
10.1080/15567249.2018.1550124
中图分类号
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号
0807 ; 0820 ;
摘要
Engineer-procure-construct (EPC) projects in the renewable energy field have attracted considerable attention and have become a hot spot of investment because of their management advantages and supportive policies. However, the investment value of EPC projects is difficult to evaluate when considering the uncertainty factors and non-preciseness of input data, which are often neglected by traditional valuation methodology. Therefore, a fuzzy real option pricing model, which can do away with the vagueness of project data, could be a useful approach in evaluating the investment value of EPC projects. Based on the Black-Scholes formula and fuzzy theory, the authors propose a fuzzy real option pricing model that introduces a fuzzy number (T-number) to describe uncertainty factors, and the optimal investment decision criterion is also described to calculate the optimal investment timing. Lastly, a data set of a real EPC project as an illustrative example of valuation is presented, and the results based on the proposed model are satisfactory.
引用
收藏
页码:404 / 413
页数:10
相关论文
共 30 条
  • [1] A fuzzy model for evaluating risk impacts on variability between contract sum and final account in government-funded construction projects
    Ameyaw, Ernest
    Chan, Albert
    Owusu-Manu, De-Graft
    Coleman, Ekow
    [J]. JOURNAL OF FACILITIES MANAGEMENT, 2015, 13 (01) : 45 - +
  • [2] Appadoo S., 2013, B MATH SCI, V3, P312, DOI [10.4236/jmf.2013.32031, DOI 10.4236/JMF.2013.32031]
  • [3] Justifying electronic banking network expansion using real options analysis
    Benaroch, M
    Kauffman, RJ
    [J]. MIS QUARTERLY, 2000, 24 (02) : 197 - 225
  • [4] PRICING OF OPTIONS AND CORPORATE LIABILITIES
    BLACK, F
    SCHOLES, M
    [J]. JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) : 637 - 654
  • [5] Median value and median interval of a fuzzy number
    Bodjanova, S
    [J]. INFORMATION SCIENCES, 2005, 172 (1-2) : 73 - 89
  • [6] A fuzzy approach to real option valuation
    Carlsson, C
    Fullér, R
    [J]. FUZZY SETS AND SYSTEMS, 2003, 139 (02) : 297 - 312
  • [7] On possibilistic mean value and variance of fuzzy numbers
    Carlsson, C
    Fullér, R
    [J]. FUZZY SETS AND SYSTEMS, 2001, 122 (02) : 315 - 326
  • [8] Carlsson C., 2002, P 16 EUR M CYB SYST
  • [9] Real options theory applied to electricity generation projects: A review
    Cesena, E. A. Martinez
    Mutale, J.
    Rivas-Davalos, F.
    [J]. RENEWABLE & SUSTAINABLE ENERGY REVIEWS, 2013, 19 : 573 - 581
  • [10] On theoretical pricing of options with fuzzy estimators
    Chrysafis, Konstantinos A.
    Papadopoulos, Basil K.
    [J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2009, 223 (02) : 552 - 566