Valuing virtual production capacities on flow commodities

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Valuing virtual production capacities on flow commodities

As a result of storability restrictions, the price risk management of flow commodities (such as natural gas, oil, and electrical power) is by no means a trivial matter.To protect price spikes, consumers purchase diverse swing– type contracts, whereas contract writers try to hedge themselves by appropriate physical assets, for instance, using storage utilities, through transmission and/or produc...

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Valuing production capacities on flow commodities

Price risk management for flow commodities (such as natural gas, oil, and electrical power) is not trivial due to restrictions on storability of the underlying. To be protected against price spikes, consumers purchase diverse swing–type contracts, whereas contract writers try to hedge them by appropriate physical assets, for instance, by storage utilities, by transmission and/or production capa...

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ژورنال

عنوان ژورنال: Mathematical Methods of Operations Research

سال: 2006

ISSN: 1432-2994,1432-5217

DOI: 10.1007/s00186-006-0087-z