The Role of Price Spreads and Reoptimization in the Real Option Management of Commodity Storage Assets
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- Type
- article
- Published
- 2012-01-01
- Cited by
- 4
- References
- 44
- Access
- Open access
- OpenAlex
- https://openalex.org/W19742125
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:91627
Keywords
Valuation (finance), Mathematical optimization, Commodity, Linear programming, Upper and lower bounds
References
- Stochastic Calculus for Finance II: Continuous-Time Models
- Real Options and Energy Management: Using Options Methodology to Enhance Capital Budgeting Decisions
- Energy and Power Risk Management: New Developments in Modeling, Pricing, and Hedging
- Commodities and Commodity Derivatives: Modelling and Pricing for Agriculturals, Metals and Energy
- Dynamic Programming and Optimal Control, Two Volume Set
- Integrated Optimization of Procurement, Processing and Trade of Commodities in a Network Environment
- Energy Derivatives: Pricing and Risk Management
- Introduction to linear optimization
- Gas Storage Valuation: Price Modelling v. Optimization Methods
- Natural gas storage valuation and optimization: A real options application
- Optimal Commodity Trading with a Capacitated Storage Asset
- A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
- Decision and horizon rules for stochastic planning problems : a linear example
- Pricing and Hedging Spread Options
- Approximate dynamic programming: solving the curses of dimensionality
- An Optimal Approximate Dynamic Programming Algorithm for the Lagged Asset Acquisition Problem
- Gas Storage Valuation Using a Monte Carlo Method
- Valuation of energy storage: an optimal switching approach
- Exotic electricity options and the valuation of electricity generation and transmission assets
- Valuation of Storage at a Liquefied Natural Gas Terminal
Cited by
- Valuation of Multiple Exercise Options with Energy Applications
- Relaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage
- Seasonal Energy Storage Operations with Limited Flexibility: The Price-Adjusted Rolling Intrinsic Policy
- Joint Merchant Management of Natural Gas Storage and Transport Assets
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