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In this paper, we use a real-options framework to value a power plant. The real option to commit or decommit a generating unit may be exercised on an hourly basis to maximize expected profit while subject to intertemporal operational constraints. The option-exercising process is modeled as a multistage stochastic problem. We develop a framework for generating discretetime price lattices for two correlated Ito processes for electricity and fuel prices. We show that the proposed framework exceedsdoi:10.1287/opre.1060.0355 fatcat:bs447mxlxndhrn5bhmvovw3xtm