Optimal risk management problem of natural resources: application to oil drilling

DOI10.1007/S10479-019-03303-1zbMATH Open1462.90058OpenAlexW2925231957MaRDI QIDQ829138FDOQ829138

Authors: Stéphane Goutte, Idris Kharroubi, Thomas Lim, M'hamed Gaigi 

Publication date: 5 May 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/18668

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zbMATH Keywords

optimal strategyenvironmentdrillingoil extractionecologicaloil storage

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Numerical methods (including Monte Carlo methods) (91G60) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Risk models (general) (91B05)

Cites Work

• Title not available (Why is that?)
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• On the theory of option pricing
• The economics of risk and time
• Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
• Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
• Valuation of Commodity-Based Swing Options
• Multi-reservoir production optimization
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• Numerical analysis of a free-boundary singular control problem in financial economics
• Optimal strategy between extraction and storage of crude oil

Cited In (4)

• Title not available (Why is that?)
• An evolutionary game theory approach for analyzing risk-based financing schemes
• Practice-relevant model validation: distributional parameter risk analysis in financial model risk management
• Optimal strategy between extraction and storage of crude oil

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