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Valuation of Commodity-Based Swing Options

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Cited by:

  1. Jiao Wang & Lima Zhao & Arnd Huchzermeier, 2021. "Operations‐Finance Interface in Risk Management: Research Evolution and Opportunities," Production and Operations Management, Production and Operations Management Society, vol. 30(2), pages 355-389, February.
  2. Guoming Lai & Mulan X. Wang & Sunder Kekre & Alan Scheller-Wolf & Nicola Secomandi, 2011. "Valuation of Storage at a Liquefied Natural Gas Terminal," Operations Research, INFORMS, vol. 59(3), pages 602-616, June.
  3. Dong, Wenfeng & Kang, Boda, 2019. "Analysis of a multiple year gas sales agreement with make-up, carry-forward and indexation," Energy Economics, Elsevier, vol. 79(C), pages 76-96.
  4. Anna Maria Gambaro & Nicola Secomandi, 2021. "A Discussion of Non‐Gaussian Price Processes for Energy and Commodity Operations," Production and Operations Management, Production and Operations Management Society, vol. 30(1), pages 47-67, January.
  5. Yangfang (Helen) Zhou & Alan Scheller-Wolf & Nicola Secomandi & Stephen Smith, 2016. "Electricity Trading and Negative Prices: Storage vs. Disposal," Management Science, INFORMS, vol. 62(3), pages 880-898, March.
  6. Víctor Manuel García de la Vega & Antonio Ruiz Porras, 2009. "Modelos Estocásticos para el Precio Spot y del Futuro de Commodities con Alta Volatilidad y Reversión a la Media," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 3(2), pages 1-24.
  7. Cartea, Álvaro & Williams, Thomas, 2008. "UK gas markets: The market price of risk and applications to multiple interruptible supply contracts," Energy Economics, Elsevier, vol. 30(3), pages 829-846, May.
  8. E. Nasakkala & J. Keppo, 2008. "Hydropower with Financial Information," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(5-6), pages 503-529.
  9. Dahlgren, Eric & Leung, Tim, 2015. "An optimal multiple stopping approach to infrastructure investment decisions," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 251-267.
  10. Soren Christensen & Albrecht Irle & Stephan Jurgens, 2012. "Optimal multiple stopping with random waiting times," Papers 1205.1966, arXiv.org.
  11. Alejandro Mac Cawley & Maximiliano Cubillos & Rodrigo Pascual, 2020. "A real options approach for joint overhaul and replacement strategies with mean reverting prices," Annals of Operations Research, Springer, vol. 286(1), pages 303-324, March.
  12. R. Mark Reesor & T. James Marshall, 2020. "Forest of Stochastic Trees: A Method for Valuing Multiple Exercise Options," JRFM, MDPI, vol. 13(5), pages 1-31, May.
  13. Paul Glasserman & Zhenyu Wang, 2011. "Valuing the Treasury's Capital Assistance Program," Management Science, INFORMS, vol. 57(7), pages 1195-1211, July.
  14. Dong Gu Choi & Daiki Min & Jong-hyun Ryu, 2018. "Economic Value Assessment and Optimal Sizing of an Energy Storage System in a Grid-Connected Wind Farm," Energies, MDPI, vol. 11(3), pages 1-23, March.
  15. Mario Domingues de Paula Simões & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Leonardo Lima Gomes, 2016. "Electricity prices forecast analysis using the extreme value theory," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 1-22.
  16. Aleksandrov, Nikolay & Espinoza, Raphael & Gyurkó, Lajos, 2013. "Optimal oil production and the world supply of oil," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1248-1263.
  17. Karakoyun, Ece Cigdem & Avci, Harun & Kocaman, Ayse Selin & Nadar, Emre, 2023. "Deviations from commitments: Markov decision process formulations for the role of energy storage," International Journal of Production Economics, Elsevier, vol. 255(C).
  18. Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.
  19. Tiziano De Angelis & Yerkin Kitapbayev, 2018. "On the Optimal Exercise Boundaries of Swing Put Options," Mathematics of Operations Research, INFORMS, vol. 43(1), pages 252-274, February.
  20. Xavier Warin, 2012. "Hedging Swing contract on gas markets," Papers 1208.5303, arXiv.org.
  21. Edoli, Enrico & Fiorenzani, Stefano & Ravelli, Samuele & Vargiolu, Tiziano, 2013. "Modeling and valuing make-up clauses in gas swing contracts," Energy Economics, Elsevier, vol. 35(C), pages 58-73.
  22. Angelica Gianfreda & Derek Bunn, 2018. "A Stochastic Latent Moment Model for Electricity Price Formation," BEMPS - Bozen Economics & Management Paper Series BEMPS46, Faculty of Economics and Management at the Free University of Bozen.
  23. Möst, Dominik & Keles, Dogan, 2010. "A survey of stochastic modelling approaches for liberalised electricity markets," European Journal of Operational Research, Elsevier, vol. 207(2), pages 543-556, December.
  24. Yangfang (Helen) Zhou & Alan Scheller‐Wolf & Nicola Secomandi & Stephen Smith, 2019. "Managing Wind‐Based Electricity Generation in the Presence of Storage and Transmission Capacity," Production and Operations Management, Production and Operations Management Society, vol. 28(4), pages 970-989, April.
  25. Warren J. Hahn & James S. Dyer, 2011. "A Discrete Time Approach for Modeling Two-Factor Mean-Reverting Stochastic Processes," Decision Analysis, INFORMS, vol. 8(3), pages 220-232, September.
  26. d'Halluin, Y. & Forsyth, P.A. & Vetzal, K.R., 2007. "Wireless network capacity management: A real options approach," European Journal of Operational Research, Elsevier, vol. 176(1), pages 584-609, January.
  27. Nicola Secomandi, 2010. "Optimal Commodity Trading with a Capacitated Storage Asset," Management Science, INFORMS, vol. 56(3), pages 449-467, March.
  28. Kovacevic, Raimund M. & Pflug, Georg Ch., 2014. "Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches," European Journal of Operational Research, Elsevier, vol. 237(2), pages 389-403.
  29. Rodrigo S. Targino & Gareth W. Peters & Georgy Sofronov & Pavel V. Shevchenko, 2013. "Optimal insurance purchase strategies via optimal multiple stopping times," Papers 1312.0424, arXiv.org.
  30. M. Wahab & Chi-Guhn Lee, 2011. "Pricing swing options with regime switching," Annals of Operations Research, Springer, vol. 185(1), pages 139-160, May.
  31. M’hamed Gaïgi & Stéphane Goutte & Idris Kharroubi & Thomas Lim, 2021. "Optimal risk management problem of natural resources: application to oil drilling," Annals of Operations Research, Springer, vol. 297(1), pages 147-166, February.
  32. Vincent Lemaire & Gilles Pag`es & Christian Yeo, 2023. "Swing contract pricing: with and without Neural Networks," Papers 2306.03822, arXiv.org, revised Mar 2024.
  33. Felix, Bastian Joachim & Weber, Christoph, 2012. "Gas storage valuation applying numerically constructed recombining trees," European Journal of Operational Research, Elsevier, vol. 216(1), pages 178-187.
  34. Selvaprabu Nadarajah & François Margot & Nicola Secomandi, 2015. "Relaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage," Management Science, INFORMS, vol. 61(12), pages 3054-3076, December.
  35. Owen Q. Wu & Derek D. Wang & Zhenwei Qin, 2012. "Seasonal Energy Storage Operations with Limited Flexibility: The Price-Adjusted Rolling Intrinsic Policy," Manufacturing & Service Operations Management, INFORMS, vol. 14(3), pages 455-471, July.
  36. Rodrigo S. Targino & Gareth W. Peters & Georgy Sofronov & Pavel V. Shevchenko, 2017. "Optimal Exercise Strategies for Operational Risk Insurance via Multiple Stopping Times," Methodology and Computing in Applied Probability, Springer, vol. 19(2), pages 487-518, June.
  37. Hahn, Warren J. & Dyer, James S., 2008. "Discrete time modeling of mean-reverting stochastic processes for real option valuation," European Journal of Operational Research, Elsevier, vol. 184(2), pages 534-548, January.
  38. Hanfeld, Marc & Schlüter, Stephan, 2016. "Operating a swing option on today's gas markets: How least squares Monte Carlo works and why it is beneficial," FAU Discussion Papers in Economics 10/2016, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  39. Matt Thompson & Matt Davison & Henning Rasmussen, 2009. "Natural gas storage valuation and optimization: A real options application," Naval Research Logistics (NRL), John Wiley & Sons, vol. 56(3), pages 226-238, April.
  40. Giorgia Callegaro & Luciano Campi & Valeria Giusto & Tiziano Vargiolu, 2017. "Utility indifference pricing and hedging for structured contracts in energy markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 265-303, April.
  41. Sripad K. Devalkar & Ravi Anupindi & Amitabh Sinha, 2011. "Integrated Optimization of Procurement, Processing, and Trade of Commodities," Operations Research, INFORMS, vol. 59(6), pages 1369-1381, December.
  42. Guoming Lai & François Margot & Nicola Secomandi, 2010. "An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation," Operations Research, INFORMS, vol. 58(3), pages 564-582, June.
  43. Marcus Eriksson & Jukka Lempa & Trygve Nilssen, 2014. "Swing options in commodity markets: a multidimensional Lévy diffusion model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 31-67, February.
  44. Cartea, Álvaro & González-Pedraz, Carlos, 2012. "How much should we pay for interconnecting electricity markets? A real options approach," Energy Economics, Elsevier, vol. 34(1), pages 14-30.
  45. Chris Kenyon & Andrew Green, 2016. "Option-Based Pricing of Wrong Way Risk for CVA," Papers 1609.00819, arXiv.org, revised Oct 2021.
  46. Christian Bender, 2011. "Dual pricing of multi-exercise options under volume constraints," Finance and Stochastics, Springer, vol. 15(1), pages 1-26, January.
  47. Tapio Behrndt & Ren-Raw Chen, 2022. "A New Look at the Swing Contract: From Linear Programming to Particle Swarm Optimization," JRFM, MDPI, vol. 15(6), pages 1-20, May.
  48. Nicola Secomandi & Guoming Lai & François Margot & Alan Scheller-Wolf & Duane J. Seppi, 2015. "Merchant Commodity Storage and Term-Structure Model Error," Manufacturing & Service Operations Management, INFORMS, vol. 17(3), pages 302-320, July.
  49. Christian Bender & Nikolai Dokuchaev, 2013. "A First-Order BSPDE for Swing Option Pricing," Papers 1305.3988, arXiv.org.
  50. Francisco Bernal & Emmanuel Gobet & Jacques Printems, 2020. "Volatility Uncertainty Quantification in a Stochastic Control Problem Applied to Energy," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 135-159, March.
  51. Nikodinoska, Dragana & Käso, Mathias & Müsgens, Felix, 2022. "Solar and wind power generation forecasts using elastic net in time-varying forecast combinations," Applied Energy, Elsevier, vol. 306(PA).
  52. Nicola Secomandi & Sunder Kekre, 2014. "Optimal Energy Procurement in Spot and Forward Markets," Manufacturing & Service Operations Management, INFORMS, vol. 16(2), pages 270-282, May.
  53. Fernandes, Gláucia & Lima Gomes, Leonardo & Teixeira Brandão, Luiz Eduardo, 2019. "Mitigating Hydrological Risk with Energy Derivatives," Energy Economics, Elsevier, vol. 81(C), pages 528-535.
  54. Liu, Xiaoran & Ronn, Ehud I., 2020. "Using the binomial model for the valuation of real options in computing optimal subsidies for Chinese renewable energy investments," Energy Economics, Elsevier, vol. 87(C).
  55. N. Aleksandrov & B. Hambly, 2010. "A dual approach to multiple exercise option problems under constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(3), pages 503-533, June.
  56. René Carmona & Savas Dayanik, 2008. "Optimal Multiple Stopping of Linear Diffusions," Mathematics of Operations Research, INFORMS, vol. 33(2), pages 446-460, May.
  57. Nicolas Curin & Michael Kettler & Xi Kleisinger-Yu & Vlatka Komaric & Thomas Krabichler & Josef Teichmann & Hanna Wutte, 2021. "A deep learning model for gas storage optimization," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1021-1037, December.
  58. John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
  59. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
  60. Nadarajah, Selvaprabu & Secomandi, Nicola, 2023. "A review of the operations literature on real options in energy," European Journal of Operational Research, Elsevier, vol. 309(2), pages 469-487.
  61. Roberto Daluiso & Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli, 2020. "Pricing commodity swing options," Papers 2001.08906, arXiv.org.
  62. Nicolas Essis-Breton & Patrice Gaillardetz, 2020. "Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale," Papers 2002.11258, arXiv.org.
  63. Nicola Secomandi, 2010. "On the Pricing of Natural Gas Pipeline Capacity," Manufacturing & Service Operations Management, INFORMS, vol. 12(3), pages 393-408, October.
  64. Abel Cadenillas & Robert Elliott & Hong Miao & Zhenyu Wu, 2009. "Risk-Hedging in Real Estate Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(4), pages 265-285, December.
  65. Nadarajah, Selvaprabu & Margot, François & Secomandi, Nicola, 2017. "Comparison of least squares Monte Carlo methods with applications to energy real options," European Journal of Operational Research, Elsevier, vol. 256(1), pages 196-204.
  66. Kourouvakalis, Stylianos, 2008. "Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/116 edited by Geman, Hélyette.
  67. Ross Baldick & Sergey Kolos & Stathis Tompaidis, 2006. "Interruptible Electricity Contracts from an Electricity Retailer's Point of View: Valuation and Optimal Interruption," Operations Research, INFORMS, vol. 54(4), pages 627-642, August.
  68. Pflug, Georg C. & Broussev, Nikola, 2009. "Electricity swing options: Behavioral models and pricing," European Journal of Operational Research, Elsevier, vol. 197(3), pages 1041-1050, September.
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