Valuation of compound real options for co-investment in residential battery systems

Ma, Yiju; Chapman, Archie C.; Verbič, Gregor

doi:10.1016/j.apenergy.2022.119111

Cited by 9 publications

(4 citation statements)

References 27 publications

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“…Several studies [22][23][24][25] explore real options in conjunction with investments in electricity distribution networks. Most of these papers consider discrete time frameworks and linear cost functions to assess various types of options associated with the investment decision: abandon or relocate distributed generation (DG) to add flexibility in distribution network expansion planning, expand with extra capacity, reinforce or use of demand side response, defer the network investment due to energy storage systems (ESS).…”

Section: Methodology and Related Literaturementioning

confidence: 99%

Long-Term Planning of Electrical Distribution Grids: How Load Uncertainty and Flexibility Affect the Investment Timing

et al. 2022

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Due to the rise of smart grids, new players and services are emerging and can have an impact on the decision-making process in distribution networks, which, over the past decades, were only driven by linear demand growth with a low level of uncertainties. Nowadays, the evolution of distribution networks and investment decisions (conductors and transformers) can no longer be based solely on deterministic assumptions of load evolution since there is a high level of uncertainties related to the development of electrical loads such as electric vehicles. In this paper, we focus on the uncertainty of the peak power, key elements for triggering an investment, and the flexibility to choose between different topologies of electric networks. To solve this problem, we apply a real option approach and provide an analytical model with closed-form solutions that allows a full treatment of the dynamic aspects of the decision to reconsider the topology of the network. Moreover, through a comparative statics analysis, we infer the sensitivity of the option value to modify the network with respect to the volatility of the peak power, the associated investment cost or other types of costs of power losses, the growth rate, or the discount rate.

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Section: Methodology and Related Literaturementioning

confidence: 99%

Long-Term Planning of Electrical Distribution Grids: How Load Uncertainty and Flexibility Affect the Investment Timing

et al. 2022

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“…Therefore, because of its convenience, GBM is ubiquitous in the analyzed literature. Besides electricity prices, coal prices [120], FiT degression [82], LCOE [85], demand growth [83], green certificate prices [27,102], and renewable output [13] have been modeled using GBM.…”

Section: Geometric Brownian Motionmentioning

confidence: 99%

“…ANNs learn the relationship between the input and the output variables by studying a data stream. This makes them ideal in RE systems, where they are seen emulating battery operational profiles [83] and forecasting demand, prices, and wind speed [16].…”

Section: Neural Networkmentioning

confidence: 99%

Economic and Regulatory Uncertainty in Renewable Energy System Design: A Review

et al. 2023

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Renewable energy is increasingly mobilizing more investment around the globe. However, there has been little attention to evaluating economic and regulatory (E&R) uncertainties, despite their enormous impact on the project cashflows. Consequently, this review analyzes, classifies, and discusses 130 articles dealing with the design of renewable energy projects under E&R uncertainties. After performing a survey and identifying the selected manuscripts, and the few previous reviews on the matter, the following innovative categorization is designed: sources of uncertainty, uncertainty characterization methods, problem formulations, solution methods, and regulatory frameworks. The classification reveals that electricity price is the most considered source of uncertainty, often alone, despite the existence of six other equally influential groups of E&R uncertainties. In addition, real options and optimization arise as the two main approaches researchers use to solve problems in energy system design. Subsequently, the following aspects of interest are discussed in depth: how modeling can be improved, which are the most influential variables, and potential lines of research. Conclusions show the necessity of modeling E&R uncertainties with currently underrepresented methods, suggest several policy recommendations, and encourage the integration of prevailing approaches.

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“…In this paper, the following time-dependent multidimensional diffusion equations with mixed derivative terms are considered. These have been widely used in many fields [7][8][9][10][11][12][13].…”

Section: Mcs Scheme For a Multidimensional Diffusion Equation With Mi...mentioning

confidence: 99%

New Stability Results of the Modified Craig-Sneyd Scheme in a Multidimensional Diffusion Equation with Mixed Derivative Terms

Liu,

Zhu,

Zhou

2023

J. Phys.: Conf. Ser.

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The time-dependent multidimensional diffusion equations with mixed derivative terms have been widely used in mathematics. Due to the mixed derivative terms, it is difficult to solve this pattern of multidimensional diffusion equations. The Modified Craig-Sneyd scheme (MCS), which has been applied to value the power derivatives, is one of the most promising methods for solving such equations. Therefore, it is of great importance to study its stability. The unconditional stability problem of MCS for a multidimensional diffusion equation with mixed derivative terms is investigated by taking into account the sizes. A new sufficient condition, necessary condition, and equivalence condition on the parameter of the MCS scheme for unconditional stability are proposed in case of the two and three-dimensional diffusion equations.

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Valuation of compound real options for co-investment in residential battery systems

Cited by 9 publications

References 27 publications

Long-Term Planning of Electrical Distribution Grids: How Load Uncertainty and Flexibility Affect the Investment Timing

Long-Term Planning of Electrical Distribution Grids: How Load Uncertainty and Flexibility Affect the Investment Timing

Economic and Regulatory Uncertainty in Renewable Energy System Design: A Review

New Stability Results of the Modified Craig-Sneyd Scheme in a Multidimensional Diffusion Equation with Mixed Derivative Terms

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