Merchant Operations: Real Option Management of Commodity and Energy Conversion Assets
نویسندگان
چکیده
The value chain for energy and other commodities entails physical conversions through refineries, power plants, storage facilities, and transportation and other capital-intensive infrastructure. When the operation of such commodity conversion assets occurs alongside liquid markets for the input and output commodities, the operating flexibility of conversion assets can be managed as real options on the underlying commodity prices. Merchant operations is an integrated trading and operations approach that (i) buys and sells commodities to support market-value maximizing optimal, or at least near-optimal, operating policies and (ii) values conversion assets, for capital budgeting, based on the cash flows such policies produce. This monograph introduces the concept of merchant operations, presents the basic principles of option valuation, surveys foundational models of commodity and energy price evolution, analyzes the structure of optimal operating policies for commodity conversions (focusing specifically on inventory and other intertemporal linkages in storage, inventory acquisition and disposal, and swing assets), considers a variety of heuristic storage operating policies, and discusses future trends in this multidisciplinary area of research and business applications.
منابع مشابه
Real Options and Merchant Operations of Energy and Other Commodities
The value chain for energy and other commodities entails physical conversions through refineries, power plants, storage facilities, and transportation and other capital-intensive infrastructure. When the operation of such commodity conversion assets occurs alongside liquid markets for the input and output commodities, the operating flexibility of conversion assets can be managed as real options...
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