گزینه ای مبتنی بر مدل شبیه سازی واقعی برای ارزیابی سرمایه گذاری در پمپ نیروگاه های ذخیره سازی

Investments in pump storage plants are expected to grow especially due to their ability to store an excess of supply from wind power plants. In order to evaluate these investments correctly the peculiarities of pump storage plants and the characteristics of liberalized power markets have to be considered. The main characteristics of power markets are the strong power price volatility and the occurrence of prices spikes. In this article a valuation model is developed capturing these aspects using power price simulation, optimization of unit commitment and capital market theory. This valuation model is able to value a future price-based unit commitment planning that corresponds to future scope of actions also called real options. The resulting real option value for the pump storage plant is compared with the traditional net present value approach. Because this approach is not able to evaluate scope of actions correctly it results in strongly smaller investment values and forces wrong investment decisions.

The expansion of power generation from renewable energy sources includes especially the power generation from wind power plants (Benitez et al., 2008). Since the supply of wind fluctuates strongly, the power generation from wind power plants underlies massive fluctuations, too. In order to compensate this strongly fluctuating power generation, pump storage plants are suitable in particular (Benitez et al., 2008), so that increasing investments in pump storage plants are to be assumed. For assessing the investments in pump storage plants an investment appraisal is necessary that covers the peculiarities of this type of power plant. The common approach for the appraisal of capital budgeting, and thus of power plants represents the net present value method. Within the scope of the net present value method the expected cash flows of the investment are discounted with risk-adjusted cost of capital. This method results in incorrect valuations, if future scope of actions should be considered in the valuation. These future scope of actions within investments are also referred to as real options (Muche, 2007, with further proofs). In this article a valuation approach will be developed that will consider the real options in the valuation of a pump storage plant. These real options particularly arise from a price-based unit commitment planning that has been necessary or possible since the liberalization of the power markets.

In this article, it is described in which way the valuation of a pump storage plant could be realized with taking a future price-based unit commitment planning into consideration. The future unit commitment planning is equivalent to the future scope of actions of the plant operator and its valuation is equivalent to the real option approach. Starting point for the valuation including the real option approach for the pump storage plant are, from the view of the time of valuation, the possible future power price developments. In order to take these power price developments into consideration, a power price model is described in Section 2 by which the essential empirically observed and the valuation-relevant properties of the power price (high volatility, mean reversion, price spikes and seasonality) can be captured. The estimation of this price model is carried out on the basis of the data at the EEX for the day-ahead and the intra-day market. The day-ahead market represents the forecast basis for the unit commitment on the intra-day market. This action alternative for unit commitment is chosen since especially the price spikes relevant for a pump storage plant can be taken into consideration during unit commitment because of the detected high correlation of both markets. To capture the possible power price developments from the perspective of the time of valuation, a simulation with 1000 day-ahead and intra-day price paths with one year's length is done. For every day of each simulated price path and considering the power plant's availability the optimal unit commitment and the annual total contribution margin for each simulation is determined in Section 4 by the binary optimization model described in Section 3. The expected annual contribution margin is equivalent to the mean of the contribution margins of all simulations and forms the basis for the valuation of the pump storage plant, which is made on the basis of cash flows distributable to shareholders during useful life. The valuation of the pump storage plant at the time of valuation is done through the determination of the present value of these cash flows. In order to take the risk equivalence during the determination of the present value into consideration, the cash flows are transformed into certainty equivalents based on the CAPM and discounted by a risk free interest rate.