A review of the operations literature on real options in energy

Cites Work

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Microgrid investment under uncertainty: a real option approach using closed form contingent analysis
Stochastic finance. An introduction in discrete time.
Optimal crude oil procurement under fluctuating price in an oil refinery
Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty
The paradox effects of uncertainty and flexibility on investment in renewables under governmental support
Gas storage valuation applying numerically constructed recombining trees
A decision-making tool for project investments based on real options: the case of wind power generation
Switching from oil to gas production in a depleting field
Valuation of power plants by utility indifference and numerical computation
Valuing virtual production capacities on flow commodities
A dual approach to multiple exercise option problems under constraints
A survey of stochastic modelling approaches for liberalised electricity markets
Continuous-time stochastic control and optimization with financial applications
Risk management in power markets: the hedging value of production flexibility
A unified framework for stochastic optimization
Rescaling-contraction with a lower cost technology when revenue declines
Comparison of least squares Monte Carlo methods with applications to energy real options
Real option valuation for reserve capacity
Flexible lease contracts in the fleet replacement problem with alternative fuel vehicles: a real-options approach
Valuation of power plants
Real options in operations research: a review
Renewable energy investments under different support schemes: a real options approach
Energy contracts management by stochastic programming techniques
Utility indifference pricing and hedging for structured contracts in energy markets
A data-driven framework for consistent financial valuation and risk measurement
Gas storage valuation in incomplete markets
A real options based decision support tool for R\&D investment: application to CO\(_2\) recycling technology
Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach
Optimal trading of imbalance options for power systems using an energy storage device
Feed-in tariff contract schemes and regulatory uncertainty
Price dynamics in the European Union Emissions Trading System and evaluation of its ability to boost emission-related investment decisions
Technology choice under emission regulation uncertainty in international container shipping
Green electricity investments: environmental target and the optimal subsidy
Valuation and pricing of electricity delivery contracts: the producer's view
Dynamic decision making for graphical models applied to oil exploration
Discrete time modeling of mean-reverting stochastic processes for real option valuation
Swing options in commodity markets: a multidimensional Lévy diffusion model
Investment timing and optimal capacity choice for small hydropower projects
Valuing Oil Properties: Integrating Option Pricing and Decision Analysis Approaches
Merchant Commodity Storage Practice Revisited
Optimal Sequential Exploration: Bandits, Clairvoyants, and Wildcats
Optimal Energy Commitments with Storage and Intermittent Supply
Approximate Dynamic Programming
An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation
Valuation of Storage at a Liquefied Natural Gas Terminal
Valuation of Commodity-Based Swing Options
Optimal Commodity Trading with a Capacitated Storage Asset
A Framework Using Two-Factor Price Lattices for Generation Asset Valuation
Short-Term Generation Asset Valuation: A Real Options Approach
Investment and the Valuation of Firms When There is an Option to Shut Down
Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments
Valuing Risky Projects: Option Pricing Theory and Decision Analysis
Optimal Economic Dispatch and Risk Management of Thermal Power Plants in Deregulated Markets
Optimizing Trading Decisions for Hydro Storage Systems Using Approximate Dual Dynamic Programming
Valuation and Optimal Operation of Electric Power Plants in Competitive Markets
Valuing flexibility in offshore petroleum projects
Reinforcement Learning and Stochastic Optimization