This thesis provides a new approach for valuing power plant parks with many embedded real options and constraints. On the one hand, this approach allows to value close to reality scenarios and on the other hand, it offers many possibilities for extensions. The valuation approach is based on a Monte‐Carlo‐Simulation, which allows a higher flexibility and scalability in contrast to the often‐used lattice trees. For the necessary exercise strategy of the options a separate valuation is needed, which is an extension to the model of Brosch (2008). For the valuation of power plant parks, stochastic electricity and fuel prices are required. Due to the long lifetime of power plants, the required input parameters cannot be received with market based approaches. Therefore, we use an alternative approach, which is based on price projections. For a better understanding of the model and possible implications for the management of real options portfolios, a real options portfolio analysis is carried out. Thereby an optimal exercise strategy for our scenario is identified; a sensitivity analysis of the input parameter is performed; possibilities of application are presented; and the special properties in contrast to plain vanilla financial options are pointed out.     «

This thesis provides a new approach for valuing power plant parks with many embedded real options and constraints. On the one hand, this approach allows to value close to reality scenarios and on the other hand, it offers many possibilities for extensions. The valuation approach is based on a Monte‐Carlo‐Simulation, which allows a higher flexibility and scalability in contrast to the often‐used lattice trees. For the necessary exercise strategy of the options a separate valuation is needed, whic...     »