Asset value of generation investment under deregulated environment

Abstract

The asset value of generation investment was studied. The generation investment evaluation model was built, and a stochastic differential electricity price model was also proposed in this work. Some characteristics, such as the multi-periodic and volatility of price, force outage and life time of generator were considered in the model. Based on the theory of stochastic differential equation, the physical property of price model was proved. The analytic solution of the presented model was deduced according to the method called valuing by expected utility, and the sensitivities of parameters were also analyzed. Numerical simulation results validate the proposed model and analytic solution.