科研之友
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摘要
Between 2005 and 2008 sugarcane mills in Brazil, stimulated by the Government to increase the ethanol consumption, invested in the production flexibility between ethanol and sugar, that is, in each production cycle, a decision is made regarding which product is optimal to produce. After the 2008 crisis, many mills were shut down. However, this type of business once again attracted the investors interest and became profitable in view of the possibility of electric energy cogeneration. The energy generated by the sugarcane bagasse yields a much greater value to the mills and creates a complex and uncertain situation that the traditional techniques of economic valuation, based on simple discounted cash flow, cannot captured properly. This paper presents a dynamic model under uncertainty conditions, where simulations are done in discrete time using recombined binomial trees. Commodities prices are modeled through a mean-reverting process and the risk neutral methodology is used. The results indicate an economic advantage for the mills with ethanol and sugar production flexibility. Furthermore, the economic feasibility of cogenerated energy in the mills make them, simultaneously economic and ecological advantageous assets.
- 出版日期2017-4
