A rapid method for optimization of linear systems with storage
Operations Research
Open, Closed, and Mixed Networks of Queues with Different Classes of Customers
Journal of the ACM (JACM)
Dynamic Programming and Optimal Control
Dynamic Programming and Optimal Control
Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments
Operations Research
Short-Term Variations and Long-Term Dynamics in Commodity Prices
Management Science
Valuation of Commodity-Based Swing Options
Management Science
Closed form solutions for mapping general distributions to quasi-minimal PH distributions
Performance Evaluation - Modelling techniques and tools for computer performance evaluation
Approximate Dynamic Programming: Solving the Curses of Dimensionality (Wiley Series in Probability and Statistics)
A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
SIAM Journal on Scientific Computing
A Framework Using Two-Factor Price Lattices for Generation Asset Valuation
Operations Research
Going Bunkers: The Joint Route Selection and Refueling Problem
Manufacturing & Service Operations Management
Optimal Commodity Trading with a Capacitated Storage Asset
Management Science
Information Relaxations and Duality in Stochastic Dynamic Programs
Operations Research
Multiechelon Procurement and Distribution Policies for Traded Commodities
Management Science
Integrated Optimization of Procurement, Processing, and Trade of Commodities
Operations Research
Manufacturing & Service Operations Management
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The valuation of the real option to store liquefied natural gas (LNG) at the downstream terminal of an LNG value chain is an important problem in practice. Because the exact valuation of this real option is computationally intractable, we develop a novel and tractable heuristic model for its strategic valuation that integrates models of LNG shipping, natural gas price evolution, and inventory control and sale into the wholesale natural gas market. We incorporate real and estimated data to quantify the value of this real option and its dependence on the throughput of an LNG chain, the type of price variability, the type of inventory control policy employed, and the level of stochastic variability in both the shipping model and the natural gas price model used. In addition, we develop an imperfect information dual upper bound to assess the effectiveness of our heuristic and find that our method is near optimal. Our approach also has potential relevance to value the real option to store other commodities in facilities located downstream from a commodity production or transportation stage, such as petroleum and agricultural products, chemicals, and metals, or the real option to store the input used in the production of a commodity such as electricity.