Porchet, Arnaud; Touzi, Nizar; Warin, Xavier - In: Mathematical Methods of Operations Research 70 (2009) 1, pp. 47-75
This paper presents a real option valuation model of a power plant, which accounts for physical constraints and market incompleteness. Switching costs, minimum on-off times, ramp rates, or non-constant heat rates are important characteristics that can lead, if neglected, to overestimated values....
