Merchant commodity storage practice revisited
From MaRDI portal
Recommendations
- Optimal commodity trading with a capacitated storage asset
- An approximate dynamic programming approach to benchmark practice-based heuristics for natural gas storage valuation
- Integrated optimization of procurement, processing, and trade of commodities
- The \((S,s)\) policy is an optimal trading strategy in a class of commodity price speculation problems
- Valuation of storage at a liquefied natural gas terminal
Cites work
- A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
- Accurate semi-Lagrangian time stepping for stochastic optimal control problems with application to the valuation of natural gas storage
- An analytic solution of the warehouse problem
- An approximate dynamic programming approach to benchmark practice-based heuristics for natural gas storage valuation
- Closed form spread option valuation
- Decision and Horizon Rules for Stochastic Planning Problems: A Linear Example
- Information relaxations and duality in stochastic dynamic programs
- Information Relaxations, Duality, and Convex Stochastic Dynamic Programs
- Natural gas storage valuation and optimization: A real options application
- On the theory of dynamic programming -- a warehousing problem
- Optimal commodity trading with a capacitated storage asset
- Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments
- Pricing and Hedging Spread Options
- Rollout algorithms for combinatorial optimization
- STORAGE OPTIONS VALUATION USING MULTILEVEL TREES AND CALENDAR SPREADS
- Tax-aware dynamic asset allocation
- Valuation of energy storage: an optimal switching approach
- Valuation of storage at a liquefied natural gas terminal
Cited in
(9)- Impact of storage competition on energy markets
- Gas storage valuation in incomplete markets
- Integrated optimization of procurement, processing, and trade of commodities
- Optimal commodity trading with a capacitated storage asset
- Control of Energy Storage with Market Impact: Lagrangian Approach and Horizons
- Combined custom hedging: optimal design, noninsurable exposure, and operational risk management
- A review of the operations literature on real options in energy
- A data-driven approach for optimal operational and financial commodity hedging
- Optimal dynamic commodity liquidation by joint spot and forward contracts
This page was built for publication: Merchant commodity storage practice revisited
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2795873)
