수익 불확실성하의 풍력발전 최적 투자 시점 분석 : Real Option 모형을 활용

This paper proposes a new model for determining optimal investment time for wind power systems. The model, with characteristics of a real option model, explicitly incorporates profit uncertainty and an investor’s option to defer investment. By using the real option model, we can derive the optimal threshold for wind power investment. Theoretical analysis is performed with respect to uncertainty. In addition, by using the real option model, we show that the optimal investment threshold increases with increasing volatility, mean-drift, and investment cost. A comparison between this study and those that adopted the traditional NPV method shows that the decision derived by NPV underestimates investment value.