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《Automation of Electric Power Systems》 2007-08
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An Approach to Generation Investment Decision-making Based on Real Option Game in Power Market Environment

JIA Dexiang1, CHENG Haozhong1, HAN Jing2(1. Shanghai Jiaotong University, Shanghai 200240, China)(2. Maanshan Power Supply Company, Maanshan 243000, China)  
In power market, such uncertain factors have been introduced for generation investment decision-making as the competition from other generating companies (Gencos) and the variation of investment value, whose influences are usually neglected in traditional methods of generation expansion planning. Based on the Black-Scholes option pricing theory and non-cooperative game theory, a deferment option game model of generation investment is developed, which makes the strategies of Gencos’ generation investment more rational. The rationality and validity of the method proposed is illuminated by a practical test example.
【Fund】: 国家高技术研究发展计划(863计划)资助项目(2005AA505101-621);; 上海市重点科技攻关研究项目(041612012)。~~
【CateGory Index】: F407.61
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