Economic Appraisal of Investment Projects in Solar Energy under Uncertainty via Fuzzy Real Option Approach (Case Study: a 2-MW Photovoltaic Plant in South of Isfahan, Iran)

الموضوعات :

Mohammad Mashhadizadeh ¹ , Mohsen Dastgir ² , Soheil Salahshour ³

1 - Department of Management , Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan, Iran.
2 - Department of Accounting, Isfahan (Khorasgan) Branch, Islamic Azad University, Isfahan,, Iran.
3 - Department of Mathematics ,Mobarakeh Branch, Islamic Azad University, Mobarakeh, Iran.

تاريخ الإرسال : 26 الخميس , ذو الحجة, 1439 تاريخ التأكيد : 08 الإثنين , جمادى الأولى, 1440 تاريخ الإصدار : 23 السبت , ربيع الأول, 1440

الکلمات المفتاحية: Photovoltaic Plant, Fuzzy Black-Scholes model, Fuzzy Delphi Hierarchical, Real Option,

ملخص المقالة :

Investment in renewable energies especially solar energies is encountered with numerous uncertainties considering the increased dynamism in economic and financial conditions and makes investment in this field irreversible to a large extent, paying attention to modern methods of economic appraisal of such investments is highly important. A framework is provided in the current study in order to employ the real option theory in evaluation of photovoltaic plants comparing with traditional methods. To this end, first, uncertainty factors of these plants in Isfahan province (one of highly susceptible regions in Iran) are identified from the view point of experts and impact factor of each one on interests and expenses of the above plant will be evaluated in order to insert these parameters in the form of fuzzy numbers in the model for better coverage of uncertainty. Then, the project under study is evaluated through both traditional methods and fuzzy real option approach with the help of Black-Scholes model and the results are compared. The results disclosed that investment value in these plants is increased if real expansion and abandonment options are considered. As a result, the real option theory has a higher adequacy than the traditional methods for evaluation of projects.

المصادر:

[1] Ahmadi, R. , Ariankia, N., American Option Pricing of Future Contracts in an Effort to Investigate Trading Strategies; Evidence from North Sea Oil Exchange, Advances in mathematical finance & applications, 2017, 2 (3), P.67-77. Doi: 10.22034/amfa.2017.533102.

[2] Ataei, M, Fuzzy multi-criteria decision making, Publications of Shahrood University of Technology, 2010,(in Persian).

[3] Baki, M.; Davoudi, R. , Evaluation of investment projects via real option analysis, Quarterly Journal of investment Knowledge, 2016,17, P. 207-225,(in Persian).

[4] Chanwoong, J. , Lee, J. , and Shin, J., Optimal subsidy estimation method using system dynamics and the real option model: Photovoltaic technology case, Applied Energy ,2015,142 , P.33–43.Doi: 10.1016/j.apenergy.2014.12.067.

[5] Collan, M., Fuller,R. and Mezei,J. , A Fuzzy Pay-Off Method for Real Option Valuation, Journal of Applied Mathematics and Decision Sciences ,2009. Online at http://mpra.ub.uni-muenchen.de/13601/.

[6] Dastgir, M., Principles of financial management. Iran, Nopardazan Publications,2008, (in Persian).

[7] Davis, GA., and Owens, B., Optimizing the Level of Renewable Electric R&D Expenditures Using Real Options Analysis, Journal of Energy Policy, 2003, 31(15) P. 1589-1608.Doi.org/10.1016/S0301-4215(02)00225-2.

[8] Defusco, R., A, Dennis W., Leavy, Mc., Jerald, E. pinto, and David E. R., CFA. Quantitative investment Analysis, Prentice-Hall ,2004,2nd ed. (Book).

[9] Dixit, AK. , Pindyck, R., Investment under uncertainty, Princeton University Press, Princeton, 1994. (Book).

[10] Eslami, Gh.; Bigdelou, M. ,Comparing output and risk of investment opportunities in Iran, The Iranian Accounting and Auditing Review, 2006,44, P. 149, (in Persian).

[11] FaniPakdel, M.R et al. , Evaluation of mineral projects from the viewpoint of real options theory: least squares Mont Carlo approach, Journal of Mining Engineering, 2012, P. 15-25,(in Persian).

[12] Gamba .A , Real Options Valuation: a Monte Carlo Approach. Working Paper Series 2002/03 Faculty of Management, University of Calgary. Online at https://pdfs.semanticscholar.org.

[13] Gogus ,O, Boucher ,T., A consistency test for rational weights in multi criterion decision analysis with fuzzy pair wise comparisons, Fuzzy Sets and Systems ,1997,86, P.129-138.Doi:10.1016/0165-0114(95)00410-6.

[14] Hafeznia, M. , An introduction on research in humanities, Iran, SAMT Publications,2009, (in Persian).

[15] Kahraman, C. & Uçal,I. , Fuzzy real options valuation for oil investments, Baltic Journal on Sustainability, 2009,P.646–669. Doi:10.3846/1392-8619.2009.15.646-669.

[16] Kalantari, N.  et al., Fuzzy Goal Programming Model to Rolling Performance Based Budgeting by Productivity Approach (Case Study: Gas Refineries in Iran), Advances in mathematical finance & applications, 2018, 3 (3), P.95-107. Doi: 10.22034/amfa.2018.544952.

[17] Kimiagari, A. , Akbari,M., A method to estimate input parameters of real option analysis in petroleum industry in Iran. Case study: South Pars project, Sharif Journal of Industrial Engineering and Management, 2010, P. 138-179, (in Persian).

[18] Kim, K. , Kim, S. & Hyoung K., Real Options Analysis for Photovoltaic Project under Uncertainty, IOP Conference Series: Earth and Environmental Science,  40(1), South Korea, 2016. Doi:10.1088/1755-1315/40/1/012080.

[19] Kjaerland, F. , A Real Option Analysis of Investments in Hydropower the Case of Norway, Journal of Energy Policy ,2007,35(11), P.5901-5908,.Doi: 10.1016/j.enpol.2007.07.021.

[20] Kodukula, P., and Papudesu, CH. , Project Valuation Using Real Options, Library of Congress Cataloging-in-Publication Data, J. Ross publisher. 2006.

[21] Lei, Z., Fan ,Y. , A real options based model and its application to china's overseas oil investment decisions, Energy economics,2010,32(3), P.627-637.Doi.org/10.1016/j.eneco.2009.08.021.

[22] Luiz, AM. , Jose M. , Valuation of Wind Energy Projects: A Real Option Approach, Energies , 2012, 7(5), P.3218-3255. Doi: 10.3390/en7053218.

[23] Martinez, E.A., and Mutale, J. , Application of an Advanced Real Options Approach for Renewable Energy Generation Projects Planning, Journal of Renewable and Sustainable Energy Reviews,2011, 15(4), P. 2087-2094.Doi.org/10.1016/j.rser.2011.01.016.

[24] Martinez, E.A., and Mutale, J. , Davalos .F, Real Options Theory Applied to Renewable Energy Generation Projects Planning, Renewable & Sustainable Energy Reviews, 2012,19, P.573-581. Doi: 10.1016/j.rser.2012.11.059.

[25] Moeini, G.; Ali Madadi , M. , Exploring types of modern and renewable energies in Iran,  Avilable at http://wikipg.com,2011 ,(in Persian).

[26] Mun .J,Real Option Analysis: Tools and Techniques for Valuing Strategic Investment and Decisions, United States, John Wiley & sons Inc, 2005.

[27] Munoz, J. et al. , Risk Assessment of Wind Power Generation Project Investments Based on Real Options, IEEE Bucharest power tech. conference, 2009. Doi: 10.1109/PTC.2009.5281848

[28] Myers, S. C. , Determinants of Corporate Borrowing, Journal of Financial Economics, 1977, 5(2), P.147-175. Doi.org/10.1016/0304-405X(77)90015-0.

[29] Nabavi, A. and Ghasemi, J., Use of binominal tree to calculate risk sensitivity parameters and option price, Journal of Management, 2014 ,34, P. 101-119,(in Persian).

[30] Official website of the Central Bank of the Islamic Republic of Iran, www.cbi.ir

[31] Osanlu, M., Ahmadian, M. and Heidarizade, M. , Economic appraisal of wind power plants considering uncertainty of electricity price using real options approach, Paper presented at 3^th International Conference on Electricity Engineering, Mechanics and Mechatronics ,Tehran, 2015 ,(in Persian).

[32] Sheen, J. , Real Option Analysis for Renewable Energy Investment under Uncertainty, Paper presented at the 2nd International Conference on Intelligent Technologies and Engineering Systems, Taiwan. ,2013. Lecture Notes in Electrical Engineering, 293, P.283-289. Doi:10.1007/978-3-319-04573-3_35.

[33]Tolga, A. Kahraman, C., Demircan, M.L , A Comparative Fuzzy Real Options Valuation Model using Trinomial Lattice and Black-Scholes Approaches, Multi-valued Logic & soft Computing, 16, P. 135-154. Online at https://researchgate.net.

[34] Vedadi, H., Exploring and feasibility study of creating a suitable path for identification, attraction, instruction and maintenance of navigator human resources. Iran, Asrar Danesh Publications,2008, (in Persian).

[35] Venetsanos, K., Angelopoulou, P., and Tsoutsos, T., Renewable Energy Sources Project Appraisal under Uncertainty, the Case of Wind Energy Exploitation within a Changing Energy Market Environment, Journal of Energy Policy, 2002, 30(4), P.293–307.Doi.org/10.1016/S0301-4215(01)00096-9.

[36] Xian, Z. et al., A novel modeling based real option approach for CCS investment evaluation under multiple uncertainties, Energy 2014,113, P. 49-61. Doi: 10.1016/j.apenergy.2013.08.047.

[37] Zekavat, M., Real option analysis in exploring investment plans, Paper presented at the Second International Conference on Financial System Development in Iran. Tehran, 2009, P. 53-77,(in Persian).