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Valuing Long-Term Commodity Assets

Citations

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Cited by:

  1. Lander, Diane M. & Pinches, George E., 1998. "Challenges to the Practical Implementation of Modeling and Valuing Real Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 537-567.
  2. Bøckman, Thor & Fleten, Stein-Erik & Juliussen, Erik & Langhammer, Håvard J. & Revdal, Ingemar, 2008. "Investment timing and optimal capacity choice for small hydropower projects," European Journal of Operational Research, Elsevier, vol. 190(1), pages 255-267, October.
  3. Dmitry Lesnik, 2015. "Intrinsic Storage Valuation by Variational Analysis," Papers 1506.06979, arXiv.org.
  4. Elliott, Robert J. & Hyndman, Cody. B., 2007. "Parameter estimation in commodity markets: A filtering approach," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2350-2373, July.
  5. repec:dau:papers:123456789/1227 is not listed on IDEAS
  6. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2, July-Dece.
  7. 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.
  8. Zambujal-Oliveira, João & Mouta-Lopes, Manuel & Bangueses, Ricardo, 2021. "Real options appraisal of forestry investments under information scarcity in biomass markets," Resources Policy, Elsevier, vol. 74(C).
  9. Ke Du, 2013. "Commodity Derivative Pricing Under the Benchmark Approach," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2013, January-A.
  10. Scarcioffolo, Alexandre Ribeiro & Perobelli, Fernanda Finotti Cordeiro & Chimeli, Ariaster Baumgratz, 2018. "Counterfactual comparisons of investment options for wind power and agricultural production in the United States: Lessons from Northern Ohio," Energy Economics, Elsevier, vol. 74(C), pages 299-309.
  11. Insley, M.C. & Wirjanto, T.S., 2010. "Contrasting two approaches in real options valuation: Contingent claims versus dynamic programming," Journal of Forest Economics, Elsevier, vol. 16(2), pages 157-176, April.
  12. Won, Chaehwan, 2009. "Valuation of investments in natural resources using contingent-claim framework with application to bituminous coal developments in Korea," Energy, Elsevier, vol. 34(9), pages 1215-1224.
  13. Lorenzo Reus, 2020. "Efficient selection of copper sales contracts for small‐ and medium‐sized mining," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 41(4), pages 624-630, June.
  14. 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.
  15. Bastian-Pinto, Carlos & Brando, Luiz & Hahn, Warren J., 2009. "Flexibility as a source of value in the production of alternative fuels: The ethanol case," Energy Economics, Elsevier, vol. 31(3), pages 411-422, May.
  16. Marcos Escobar & Luis Seco, 2012. "Residual Model for Future Prices," Journal of Business Administration Research, Journal of Business Administration Research, Sciedu Press, vol. 1(2), pages 110-119, October.
  17. Rodriguez, J.C., 2007. "A Preference-Free Formula to Value Commodity Derivatives," Discussion Paper 2007-92, Tilburg University, Center for Economic Research.
  18. Barbosa, Luciana & Nunes, Cláudia & Rodrigues, Artur & Sardinha, Alberto, 2020. "Feed-in tariff contract schemes and regulatory uncertainty," European Journal of Operational Research, Elsevier, vol. 287(1), pages 331-347.
  19. Kjaerland, Frode, 2007. "A real option analysis of investments in hydropower--The case of Norway," Energy Policy, Elsevier, vol. 35(11), pages 5901-5908, November.
  20. Lavrutich, Maria & Hagspiel, Verena & Siddiqui, Afzal S., 2023. "Transmission investment under uncertainty: Reconciling private and public incentives," European Journal of Operational Research, Elsevier, vol. 304(3), pages 1167-1188.
  21. Takashi Kato & Jun Sekine & Hiromitsu Yamamoto, 2014. "A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 151-174, May.
  22. Siddiqui, Afzal & Fleten, Stein-Erik, 2010. "How to proceed with competing alternative energy technologies: A real options analysis," Energy Economics, Elsevier, vol. 32(4), pages 817-830, July.
  23. Savolainen, Jyrki, 2016. "Real options in metal mining project valuation: Review of literature," Resources Policy, Elsevier, vol. 50(C), pages 49-65.
  24. Christian-Oliver Ewald & Aihua Zhang & Zhe Zong, 2019. "On the calibration of the Schwartz two-factor model to WTI crude oil options and the extended Kalman Filter," Annals of Operations Research, Springer, vol. 282(1), pages 119-130, November.
  25. repec:dau:papers:123456789/2274 is not listed on IDEAS
  26. Takashi Kato & Jun Sekine & Hiromitsu Yamamoto, 2014. "A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information," Papers 1406.4275, arXiv.org.
  27. Støre, Kristian & Fleten, Stein-Erik & Hagspiel, Verena & Nunes, Cláudia, 2018. "Switching from oil to gas production in a depleting field," European Journal of Operational Research, Elsevier, vol. 271(2), pages 710-719.
  28. Omura, Akihiro & Todorova, Neda & Li, Bin & Chung, Richard, 2015. "Convenience yield and inventory accessibility: Impact of regional market conditions," Resources Policy, Elsevier, vol. 44(C), pages 1-11.
  29. Delphine Lautier & Yves Simon, 2004. "La volatilité des prix des matières premières," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 45-84.
  30. Rodriguez, J.C., 2007. "A Preference-Free Formula to Value Commodity Derivatives," Other publications TiSEM 7354a9fa-3202-40c1-aeb2-a, Tilburg University, School of Economics and Management.
  31. Mikael Collan & Jyrki Savolainen & Pasi Luukka, 2017. "Investigating the effect of price process selection on the value of a metal mining asset portfolio," Mineral Economics, Springer;Raw Materials Group (RMG);Luleå University of Technology, vol. 30(2), pages 107-115, July.
  32. repec:dau:papers:123456789/1245 is not listed on IDEAS
  33. Naito, Yuta & Takashima, Ryuta & Kimura, Hiroshi & Madarame, Haruki, 2010. "Evaluating replacement project of nuclear power plants under uncertainty," Energy Policy, Elsevier, vol. 38(3), pages 1321-1329, March.
  34. repec:dau:papers:123456789/95 is not listed on IDEAS
  35. Eduardo Schwartz & James E. Smith, 2000. "Short-Term Variations and Long-Term Dynamics in Commodity Prices," Management Science, INFORMS, vol. 46(7), pages 893-911, July.
  36. Jongwoo Lee & Dean Paxson, 2003. "Confined exponential approximations for the valuation of American options," The European Journal of Finance, Taylor & Francis Journals, vol. 9(5), pages 449-474.
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