Avaliação dos métodos de Grant, Vora & Weeks e dos mínimos quadrados na determinação do valor incremental do mercado de carbono nos projetos de geração de energia elétrica no Brasil

Abstract

ABSTRACT. The objective of this paper is to evaluate the robustness of the Grant, Vora & Weeks and Least Square Monte Carlo Methods when used to evaluate renewable generation projects developed according to the rules of the Kyoto Protocol Clean Development Mechanism. The proposed methodology makes use of the NEWAVE model in order to generate futures dispatch sequences for all generators connected to the Brazilian grid. After that, based on the methodology ACM0002, the uncertainty associated to the time evolution of the project's baseline is considered. Finally, the carbon market' incremental payoff is estimated using the Real Options Approach. In order to do that, the numerical methods previously mentioned are used under the assumption that the behavior of the carbon price is random and that the price follows a Geometric Brownian Motion.

Determination of the carbon market incremental payoff considering a stochastic jump-diffusion process

“…Additionally, 96 early exercise dates were used, which is equivalent to dividing the option lifetime (twenty-four months) into weekly time periods. This choice was based on the results obtained by Batista et al (2011b), which in the absence of jumps show that good option value estimates can be obtained using 40,000 simulated paths and 48 early exercise dates.…”

“…In this context, the main contribution of this paper is to continue the analyses carried out by Batista et al (2011b) verifying the robustness of the Least Square Monte Carlo (LSM) and Grant, Vora & Weeks (GVW) methods when the behavior of the CER price can be modeled using a jump-diffusion process, instead of the traditional geometric Brownian motion used by Batista et al (2011b). As written by Merton (1976), it is known that in the presence of jumps, the 363 Black-Scholes "hedge" portfolio will not be riskless, and hence, their 'no arbitrage' technique cannot be employed in order to derive an analytical formula for option pricing.…”

“…Then the Least Square Monte Carlo (see Longstaff & Schwartz, 2001) and Grant, Vora & Weeks (1996) methods were also used by Batista et al (2011b). Despite the fact that a convergence of results was observed for all of the methods used, the LSM and GVW methods are considered to be more flexible than the binomial method, since they can be used for the evaluation of different types of options or for options with different stochastic factors.…”

A Utilização de Objetivos de Desempenho de Operações como Vetor para Decisões de Investimentos

“…Osborne 2010promoveu uma nova equação a partir de uma discussão centenária sobre a utilização do VPL. Batista et al (2011) pesquisaram sobre a utilização do VPL na determinação do valor incremental do mercado de carbono nos projetos de geração de energia elétrica no Brasil e chegaram à conclusão de sua eficácia. Chiu e Escalante 2012demonstraram um novo modelo para financiamentos com capital externo utilizando o VPL.…”

Modelo Decisório Dinâmico Para Incentivar as Fontes Renováveis No Brasil

“…A segunda abordagem, descrita na seção ? ?, adapta o algoritmo de Grant, Vora e Weeks [69] para o cálculo de opções reais, de maneira semelhante ao que foi proposto por Batista [12,13]. Nesta abordagem é construída a chamada Fronteira para o Exercício Antecipado, que é uma curva que dene duas regiões para os valores da variável estocástica: a região de espera (abaixo da curva) e a região de exercício imediato (acima da curva).…”