valuation of long-term investments in energy assets under uncertainty能源资产估值的长期投资的不确定性.pdfVIP

Energies 2009, 2, 738-768; doi:10.3390/e OPEN ACCESS energies ISSN 1996-1073 /journal/energies Review Valuation of Long-Term Investments in Energy Assets under Uncertainty Luis M. Abadie ´ Bilbao Bizkaia Kutxa, Gran Vıa 30, 48009 Bilbao, Spain; E-Mail: imabadie@ Received: 5 August 2009 / Accepted: 2 September 2009 / Published: 4 September 2009 Abstract: This paper aims to contribute to the development of valuation models for long-term investments while keeping an eye on market prices. The adopted methodology is rooted on the existence of markets for futures and options on commodities related to energy investments. These markets are getting ever-increasingly liquid with ever-longer maturities while trading contracts. We discuss the advantages of this approach relative to other alternatives such as the Net Present Value (NPV) or the Internal Rate of Return (IRR), despite a limited increase in the complexity of the models involved. More specifically, using the valuation methods well-known to energy-finance academics, the paper shows how to: break down an investment into its constituent parts, apply to each of them the corresponding risk premium, value annuities on assets with a deterministic or stochastic behavior, and value the options that are available to its owner, in order to get an overall value of the investment project. It also includes an application to improvement in coal consumption, where futures markets are used