Juego de Opciones aplicado a Inversiones en capacidad de generación eléctrica

BAUM, GABRIEL; BLANCO, GERARDO; LOPEZ, SONIA; GARCÉS, FRANCISCO; OLSINA, FERNANDO

Mar del Plata

Congreso; 12th Latin-American Congress on Electricity Generation and Transmission CLAGTEE 2017; 2017

Universidad Nacional del Mar del Plata

In the electricity markets with oligopolistic competition, generation companies carry out strategies or games to exert market power in order to increase their profits above competitive levels to prevent the entry of new agents to the market. To minimize the risks in capital-intensive projects (investments in capacity), generation companies must invest timely (anticipate or react). For this, the investors seek tools that allow quantifying the value of flexibility considering the strategic movements of its competitors. This paper develops an evaluation tool, called Options Game, which combines Real Options with Game Theory. To validate the model, an application of the Options Game approach has been represented, which quantifies the effect of a duopolistic market in decision making. The results indicate a considerable reduction of risk by postponing the investment, which is related to the arrival of new information before making the decision.