A Compound Up-and-In Call like Option for Wind Projects Pricing

نویسندگان

چکیده

Wind energy projects represent, currently, a valid opportunity to support United Nations Sustainable Development Goal 7. However, these can appear financially unattractive considering the unfavorable meteorological conditions, uncertain electricity market price, demand, unpredictable project performance, riskiness of investment stages, etc. This paper provides real options pricing model applied for evaluation wind farm include uncertainty that affect future performance. The methodology proposed uses compound call option with two barriers applied, respectively, twofold phase framework would act as sort up-and-in barrier. allows us valuate managerial flexibility proceed following stages depending on success previous ones and, through barriers, gives investor consider some profitability thresholds below, past which should be abandoned. We develop discrete case by using binomial approach. A hypothetical study is shown implement theoretical likely data.

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ژورنال

عنوان ژورنال: Risks

سال: 2023

ISSN: ['2227-9091']

DOI: https://doi.org/10.3390/risks11050090