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Merchant Commodity Storage Practice Revisited
16 references·1 citing·27 second hop
Merchant Commodity Storage Practice Revisited (2015)Merchant Commodity Storage Practice Revis…Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds (2011)Dynamic Portfolio Optimizatio…Information Relaxations and Duality in Stochastic Dynamic Programs (2010)Information Relaxations and D…An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation (2010)An Approximate Dynamic Progra…Valuation of energy storage: an optimal switching approach (2009)Valuation of energy storage: …Optimal Commodity Trading with a Capacitated Storage Asset (2009)Optimal Commodity Trading wit…Natural gas storage valuation and optimization: A real options application (2009)Natural gas storage valuation…Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy (2009)Commodities and Commodity Der…A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation (2007)A Semi-Lagrangian Approach fo…Stochastic Calculus for Finance II: Continuous-Time Models (2004)Stochastic Calculus for Finan…Stochastic Calculus for Finance II (2004)Stochastic Calculus for Finan…Pricing and Hedging Spread Options (2003)Pricing and Hedging Spread Op…Energy and power risk management : new developments in modeling, pricing and hedging (2003)Energy and power risk managem…Energy derivatives : pricing and risk management (2000)Energy derivatives : pricing …Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments (1999)Options in the Real World: Le…Energy Risk: Valuing and Managing Energy Derivatives (1997)Energy Risk: Valuing and Mana…THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…Gas storage valuation in incomplete markets (2020)Gas storage valuation in inco…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Fourier space time-stepping for option pricing with Lévy models (2008)A Fourier Transform Method for Spread Option Pricing (2010)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Decision analysis in energy and environmental modeling: An update (2005)Using Binomial Decision Trees to Solve Real-Option Valuation Problems (2005)Oil and energy price volatility (2006)An Intertemporal Capital Asset Pricing Model (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Changes of numéraire, changes of probability measure and option pricing (1995)Arbitrage Theory in Continuous Time (2004)Monte Carlo Methods in Financial Engineering (2003)Lectures on Stochastic Programming: Modeling and Theory (2009)Solution and Estimation Methods for DSGE Models (2016)Should investors include commodities in their portfolios after all? New evidence (2011)Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis (2017)Regime jumps in electricity prices (2003)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Understanding the Fine Structure of Electricity Prices* (2006)A Liquidity-Based Theory of Closed-End Funds (2008)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)Numerical Solution of Stochastic Differential Equations (2016)Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)
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References

  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 2004Stochastic Calculus for Finance II: Continuous-Time Models1,104 cited
  • 2004Stochastic Calculus for Finance II748 cited
  • 2000Energy derivatives : pricing and risk management495 cited
  • 1997Energy Risk: Valuing and Managing Energy Derivatives427 cited
  • 2003Energy and power risk management : new developments in modeling, pricing and hedging347 cited
  • 2003Pricing and Hedging Spread Options338 cited
  • 2009Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy302 cited
  • 1999Options in the Real World: Lessons Learned in Evaluating Oil and Gas Investments246 cited
  • 2010Information Relaxations and Duality in Stochastic Dynamic Programs225 cited
  • 2009Valuation of energy storage: an optimal switching approach177 cited
  • 2009Optimal Commodity Trading with a Capacitated Storage Asset173 cited
  • 2011Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds169 cited
  • 2010An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation163 cited
  • 2009Natural gas storage valuation and optimization: A real options application

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156 cited
  • 2007A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation137 cited
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    • 2020Gas storage valuation in incomplete markets36 cited