Las opciones reales como metodología de evaluación de un proyecto en el sector de energía
Main Article Content
Keywords
Opciones reales, Opción de expansión, Árboles binomiales, Sector energía
Resumen
El presente trabajo pretende aplicar la teoría de opciones reales en un proyecto de construcción de una pequeña central hidroeléctrica en Colombia. El cálculo del valor presente neto y de la tasa interna de retorno indica que el proyecto es viable; sin embargo, estas metodologías desconocen la opción de expansión existente en dicho proyecto. El artículo presenta el cálculo de esta opción basándose en la metodología de árboles binomiales, en los que la volatilidad se obtiene a través de un modelo EGARCH elaborado con base en los retornos diarios de los precios de la energía. Se concluye que la opción real hace viable el proyecto, a la vez que desarrolla herramientas que ayudan a trabajar este tipo de casos en las valoraciones de proyectos pertenecientes al sector energía.
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Referencias
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Banco Central de Reserva de Perú (2019). Cuadros Estadísticos. Recuperado de https://estadisticas.bcrp.gob.pe/estadisticas/series
Bjørgum, Ø. (2016). MNCs entering an emerging industry: The choice of governance mode under high uncer-tainty. Cogent Business and Management, 3(1). doi:10.1080/23311975.2016.1258135
Bonis, S., Palenzuela, V., & Herrero, G. (2007). Real Options and Monte Carlo Simulation. Universia Business Review, 16, 52-63.
Bonis, S., Palenzuela, V., & Herrero, G. (2009). Real options in the electricity sector. Endesa’s expansion in Latin America. Revista Española de Financiación y Contabilidad, 12(38), 65-94.
Cartea, Á., & González, C. (2012). How much should we pay for interconnecting electricity markets? A real options approach. Energy Economics, 34(1), 14-30. doi:10.1016/j.eneco.2011.06.002
Cartea, A., & Jaimungal, S. (2017). Irreversible investments and ambiguity aversion. International Journal of Theoretical and Applied Finance, 20(7). doi:10.1142/S0219024917500443
Chen, S., Zhang, Q., Wang, G., Zhu, L., & Li, Y. (2018). Investment strategy for underground gas storage facilities based on real option model considering gas market reform in China. Energy Economics, 70, 132-142. doi:10.1016/j.eneco.2017.12.034
Concha, A., Andalaft, A., & Farías, O. (2009). Coal gasification for power generation: Analysis with real options valuation. Ingeniare, 17(3), 347-359.
Cuervo, F. (2015). Valuation of renewable and unconventional electricity sources: An approach from real op-tions. Cuadernos de Administración, 28(51), 45-64. doi:10.11144/Javeriana.cao28-51.vfrc
Damoradan, A. (2019). Damodaran online. Nueva York, NY: New York. University, Stern School of Business. Recuperado de http://pages.stern.nyu.edu/~adamodar/
Fertig, E., Heggedal, A., Doorman, G., & Apt, J. (2014). Optimal investment timing and capacity choice for pumped hydropower storage. Energy Systems, 5(2), 285-306. doi:10.1007/s12667-013-0109-x
Fleten, S., Haugom, E., & Ullrich, C. (2017). The real options to shutdown, startup, and abandon: U.S. electricity industry evidence. Energy Economics, 63, 1-12. doi:10.1016/j.eneco.2017.01.016
Fleten, S., Linnerud, K., Molnár, P., & Tandberg, M. (2016). Green electricity investment timing in practice: Real options or net present value? Energy, 116, 498-506. doi:10.1016/j.energy.2016.09.114
Gazheli, A., & Di Corato, L. (2013). Land-use change and solar energy production: A real option approach. Ag-ricultural Finance Review, 73(3), 507-525. doi:10.1108/AFR-05-2012-0024
Gónima, V. (2016). Avances recientes en el uso de opciones reales en la evaluación de proyectos de generación de energía con fuentes alternativas (tesis de grado). Universidad Nacional de Colombia, Colombia.
Henao, A., Sauma, E., Reyes, T., & Gonzalez, A. (2017). What is the value of the option to defer an investment in Transmission Expansion Planning. An estimation using Real Options. Energy Economics, 65, 194-207. doi:10.1016/j.eneco.2017.05.001
Jain, S., Roelofs, F., & Oosterlee, C. W. (2013). Valuing modular nuclear power plants in finite time decision horizon. Energy Economics, 36, 625-636. doi:10.1016/j.eneco.2012.11.012
Macías, A. (2018). Estudio de generación eléctrica bajo escenario de cambio climático. Unidad de Planeación Minero Energética, 1-107.
Maya, C., Hernández, J., & Gallego, Ó. (2012). The valuation of eolic energy projects in Colombia under the real option approach. Cuadernos de Administración, 25(44), 193-231.
Mendoza, G., & Gutiérrez, G. (2016). Energy and reserve genco’s self-scheduling: Real option approach formu-lation. Ingeniare, 24(1), 70-84.
Min, K., Lou, C., & Wang, C. (2012). An exit and entry study of renewable power producers: A real options ap-proach. Engineering Economist, 57(1), 55-75. doi:10.1080/0013791X.2011.651566
Ming, Z., Ping, Z., Shunkun, Y., & Ge, Z. (2016). Decision-making model of generation technology under uncer-tainty based on real option theory. Energy Conversion and Management, 110, 59-66. doi:10.1016/j.enconman.2015.12.005
Nishimura, N. (2011). An application of the real options approach to R&D investment decision making in a ser-vice division of an energy firm. International Journal of Services, Technology and Management, 15(3-4), 218-238. doi:10.1504/IJSTM.2011.040377
Otero, S., Andalaft, A., & Vásquez, E. (2008). The finite difference method in real options valuation. Ingeniare, 16(2), 232-243.
Rohlfs, W., & Madlener, R. (2011). Valuation of CCS-ready coal-fired power plants: A multi-dimensional real options approach. Energy Systems, 2(3-4), 243-261. doi:10.1007/s12667-011-0034-9
Santos, L., Soares, I., Mendes, C., & Ferreira, P. (2013). Real Options versus Traditional Methods to assess Re-newable Energy Projects. Renewable Energy, 68(C), 588-594.
Scarcioffolo, A., Perobelli, F., & Chimeli, A. (2018). Counterfactual comparisons of investment options for wind power and agricultural production in the United States: Lessons from Northern Ohio. Energy Econom-ics, 74(C), 299-309. doi:10.1016/j.eneco.2018.06.011
Westner, G., & Madlener, R. (2012). Investment in new power generation under uncertainty: Benefits of CHP vs. condensing plants in a copula-based analysis. Energy Economics, 34(1), 31-44. doi:10.1016/j.ene-co.2011.02.014
Zhang, M., Zhou, P., & Zhou, D. (2016). A real options model for renewable energy investment with application to solar photovoltaic power generation in China. Energy Economics, 59(C), 213-226. doi:10.1016/j.ene-co.2016.07.028
Agaton, C., & Karl, H. (2018). A real options approach to renewable electricity generation in the Philippines. Energy, Sustainability and Society, 8(1). doi:10.1186/s13705-017-0143-y
Ahumada V., & Andalaft, A. (2013). The methodology of real options: An application to the case of a paper com-pany in the Biobio region, Chile. Ingeniare, 21(3), 337-346. doi:10.4067/S0718-33052013000300004
Arango, M., & Botero, B. (2017). The application of real options as a tool for decision-making in the elec-tricity market. Iberian Conference on Information Systems and Technologies. doi: 10.23919/CIS-TI.2017.7975807
Banco Central de Reserva de Perú (2019). Cuadros Estadísticos. Recuperado de https://estadisticas.bcrp.gob.pe/estadisticas/series
Bjørgum, Ø. (2016). MNCs entering an emerging industry: The choice of governance mode under high uncer-tainty. Cogent Business and Management, 3(1). doi:10.1080/23311975.2016.1258135
Bonis, S., Palenzuela, V., & Herrero, G. (2007). Real Options and Monte Carlo Simulation. Universia Business Review, 16, 52-63.
Bonis, S., Palenzuela, V., & Herrero, G. (2009). Real options in the electricity sector. Endesa’s expansion in Latin America. Revista Española de Financiación y Contabilidad, 12(38), 65-94.
Cartea, Á., & González, C. (2012). How much should we pay for interconnecting electricity markets? A real options approach. Energy Economics, 34(1), 14-30. doi:10.1016/j.eneco.2011.06.002
Cartea, A., & Jaimungal, S. (2017). Irreversible investments and ambiguity aversion. International Journal of Theoretical and Applied Finance, 20(7). doi:10.1142/S0219024917500443
Chen, S., Zhang, Q., Wang, G., Zhu, L., & Li, Y. (2018). Investment strategy for underground gas storage facilities based on real option model considering gas market reform in China. Energy Economics, 70, 132-142. doi:10.1016/j.eneco.2017.12.034
Concha, A., Andalaft, A., & Farías, O. (2009). Coal gasification for power generation: Analysis with real options valuation. Ingeniare, 17(3), 347-359.
Cuervo, F. (2015). Valuation of renewable and unconventional electricity sources: An approach from real op-tions. Cuadernos de Administración, 28(51), 45-64. doi:10.11144/Javeriana.cao28-51.vfrc
Damoradan, A. (2019). Damodaran online. Nueva York, NY: New York. University, Stern School of Business. Recuperado de http://pages.stern.nyu.edu/~adamodar/
Fertig, E., Heggedal, A., Doorman, G., & Apt, J. (2014). Optimal investment timing and capacity choice for pumped hydropower storage. Energy Systems, 5(2), 285-306. doi:10.1007/s12667-013-0109-x
Fleten, S., Haugom, E., & Ullrich, C. (2017). The real options to shutdown, startup, and abandon: U.S. electricity industry evidence. Energy Economics, 63, 1-12. doi:10.1016/j.eneco.2017.01.016
Fleten, S., Linnerud, K., Molnár, P., & Tandberg, M. (2016). Green electricity investment timing in practice: Real options or net present value? Energy, 116, 498-506. doi:10.1016/j.energy.2016.09.114
Gazheli, A., & Di Corato, L. (2013). Land-use change and solar energy production: A real option approach. Ag-ricultural Finance Review, 73(3), 507-525. doi:10.1108/AFR-05-2012-0024
Gónima, V. (2016). Avances recientes en el uso de opciones reales en la evaluación de proyectos de generación de energía con fuentes alternativas (tesis de grado). Universidad Nacional de Colombia, Colombia.
Henao, A., Sauma, E., Reyes, T., & Gonzalez, A. (2017). What is the value of the option to defer an investment in Transmission Expansion Planning. An estimation using Real Options. Energy Economics, 65, 194-207. doi:10.1016/j.eneco.2017.05.001
Jain, S., Roelofs, F., & Oosterlee, C. W. (2013). Valuing modular nuclear power plants in finite time decision horizon. Energy Economics, 36, 625-636. doi:10.1016/j.eneco.2012.11.012
Macías, A. (2018). Estudio de generación eléctrica bajo escenario de cambio climático. Unidad de Planeación Minero Energética, 1-107.
Maya, C., Hernández, J., & Gallego, Ó. (2012). The valuation of eolic energy projects in Colombia under the real option approach. Cuadernos de Administración, 25(44), 193-231.
Mendoza, G., & Gutiérrez, G. (2016). Energy and reserve genco’s self-scheduling: Real option approach formu-lation. Ingeniare, 24(1), 70-84.
Min, K., Lou, C., & Wang, C. (2012). An exit and entry study of renewable power producers: A real options ap-proach. Engineering Economist, 57(1), 55-75. doi:10.1080/0013791X.2011.651566
Ming, Z., Ping, Z., Shunkun, Y., & Ge, Z. (2016). Decision-making model of generation technology under uncer-tainty based on real option theory. Energy Conversion and Management, 110, 59-66. doi:10.1016/j.enconman.2015.12.005
Nishimura, N. (2011). An application of the real options approach to R&D investment decision making in a ser-vice division of an energy firm. International Journal of Services, Technology and Management, 15(3-4), 218-238. doi:10.1504/IJSTM.2011.040377
Otero, S., Andalaft, A., & Vásquez, E. (2008). The finite difference method in real options valuation. Ingeniare, 16(2), 232-243.
Rohlfs, W., & Madlener, R. (2011). Valuation of CCS-ready coal-fired power plants: A multi-dimensional real options approach. Energy Systems, 2(3-4), 243-261. doi:10.1007/s12667-011-0034-9
Santos, L., Soares, I., Mendes, C., & Ferreira, P. (2013). Real Options versus Traditional Methods to assess Re-newable Energy Projects. Renewable Energy, 68(C), 588-594.
Scarcioffolo, A., Perobelli, F., & Chimeli, A. (2018). Counterfactual comparisons of investment options for wind power and agricultural production in the United States: Lessons from Northern Ohio. Energy Econom-ics, 74(C), 299-309. doi:10.1016/j.eneco.2018.06.011
Westner, G., & Madlener, R. (2012). Investment in new power generation under uncertainty: Benefits of CHP vs. condensing plants in a copula-based analysis. Energy Economics, 34(1), 31-44. doi:10.1016/j.ene-co.2011.02.014
Zhang, M., Zhou, P., & Zhou, D. (2016). A real options model for renewable energy investment with application to solar photovoltaic power generation in China. Energy Economics, 59(C), 213-226. doi:10.1016/j.ene-co.2016.07.028