Merchant Commodity Storage Practice Revisited
Published Online:21 Sep 2015https://doi.org/10.1287/opre.2015.1407
References
- (1956) On the theory of dynamic programming—A warehousing problem. Management Sci. 2(3):272–275.Link, Google Scholar
- (1997) Rollout algorithms for combinatorial optimization. J. Heuristics 3(3):245–262.Crossref, Google Scholar
- (1997) Introduction to Linear Optimization (Athena Scientific, Belmont, MA).Google Scholar
- (2014) Closed form spread option valuation. Quant. Finance 14(10):1785–1794.Crossref, Google Scholar
- (2011) Gas storage valuation: Price modeling v. optimization methods. The Energy J. 32(1):203–227.Crossref, Google Scholar
- (2008) Gas storage valuation using a Monte Carlo method. J. Derivatives 15(3):81–98.Crossref, Google Scholar
- (2011/12) Gas storage valuation using a multifactor price process. J. Energy Markets 4(4):29–52.Crossref, Google Scholar
- (2011) Dynamic portfolio optimization with transaction costs: Heuristics and dual bounds. Management Sci. 57(10):1752–1770.Link, Google Scholar
- (2014) Information relaxations, duality, and convex stochastic dynamic programs. Oper. Res. 62(6):1394–1415.Link, Google Scholar
- (2010) Information relaxation and duality in stochastic dynamic programs. Oper. Res. 58(4):785–801.Link, Google Scholar
- (2007) Managing Energy Risk: An Integrated View on Power and Other Energy Markets (John Wiley & Sons, Chichester, UK).Google Scholar
- (2003) Pricing and hedging spread options. SIAM Rev. 45(4):627–685.Crossref, Google Scholar
- (2010) Valuation of energy storage: An optimal switching approach. Quant. Finance 10(4):359–374.Crossref, Google Scholar
- (1955) Generalization of the warehousing model. Oper. Res. Quart. 6(2):131–172.Crossref, Google Scholar
- (1966) Decision and horizon rules for stochastic planning problems: A linear example. Econometrica 34(2):307–330.Crossref, Google Scholar
- (2007) A semi-Lagrangian approach for natural gas storage valuation and optimal operation. SIAM J. Sci. Comput. 30(1):339–368.Crossref, Google Scholar
- (2000) Energy Derivatives: Pricing and Risk Management (Lacima Publications, London).Google Scholar
- (1957) An analytic solution of the warehouse problem. Management Science 4(1):99–104.Link, Google Scholar
- EnergyQuants (2015) StoragePlanner. Accessed April 7, 2015, http://www.energyquant.nl/software/.Google Scholar
- (2003) Energy and Power Risk Management: New Developments in Modeling, Pricing, and Hedging (John Wiley & Sons, Hoboken, NJ).Google Scholar
- FEA (2014) @ENERGY/Storage. Accessed April 7, 2015, http://www.fea.com/products/energy/storage/.Google Scholar
- (2012) The Handbook of Energy Trading (John Wiley & Sons, Chichester, UK).Crossref, Google Scholar
- (2005) Commodities and Commodity Derivatives: Modeling and Pricing for Agriculturals, Metals and Energy (John Wiley & Sons, Chichester, UK).Google Scholar
- (2004a) Realistic natural gas storage models II: Trading strategies. Commodities Now (September):1–5.Google Scholar
- (2004b) Towards a realistic gas storage model. Commodities Now (June):1–4.Google Scholar
- Gurobi Optimization (2012) Gurobi optimizer reference manual version 5.0, Gurobi Optimization, Inc., Houston.Google Scholar
- (2014) Tax-aware dynamic asset allocation. Working paper, Department of Industrial Engineering and Operations Research, Columbia University, New York.Crossref, Google Scholar
- KYOS (2014) KYSTORE gas storage valuation—Optimal decisions in forward and spot markets. Accessed April 7, 2015, http://www.kyos.com/files/uploads/modeling/KyStore_brochure.pdf.Google Scholar
- Lacima (2014) Lacima Analytics—Valuation and optimisation suite. Accessed April 7, 2015, http://www.lacimagroup.com/page18759/ValuationampOptimisation-Suite.aspx.Google Scholar
- (2010) An approximate dynamic programming approach to benchmark practice-based heuristics for natural gas storage valuation. Oper. Res. 58(3):564–582.Link, Google Scholar
- (2011) Valuation of storage at a liquefied natural gas terminal. Oper. Res. 59(3):602–616.Link, Google Scholar
- (2004) Storage options valuation using multilevel trees and calendar spreads. Internat. J. Theoret. Appl. Finance 7(4):425–464.Crossref, Google Scholar
- (2002) Valuation of the operational flexibility of natural gas storage reservoirs. Ronn E, ed. Real Options and Energy Management Using Options Methodology to Enhance Capital Budgeting Decisions (Risk Publications, London), 431–456.Google Scholar
- (1978) The value of an option to exchange one asset for another. J. Finance 33(1):177–186.Crossref, Google Scholar
- MathWorks (2014) Natural gas storage valuation. Accessed April 7, 2015, http://www.mathworks.com/matlabcentral/fileexchange/47667-natural-gas-storage-valuation.Google Scholar
- (2013) A radial basis function approach to gas storage valuation. J. Energy Markets 6(2):19–50.Crossref, Google Scholar
- (2014) Relaxations of approximate linear programs for the real option management of commodity storage. Management Sci. ePub ahead of print July 9, http://dx.doi.org/10.1287/mnsc.2015.2136.Google Scholar
- (2013) Quantifying natural gas storage optionality: A two-factor tree model. J. Energy Markets 6(1):95–124.Google Scholar
- (2007) Energy Risk: Valuing and Managing Energy Derivatives, 2nd ed. (McGraw-Hill, New York).Google Scholar
- (2008) An analysis of the control-algorithm re-solving issue in inventory and revenue management. Manufacturing Service Oper. Management 10(3):468–483.Link, Google Scholar
- (2010) Optimal commodity trading with a capacitated storage asset. Management Sci. 56(3):449–467.Link, Google Scholar
- (2011) An opportunity cost view of basestock optimality for the warehouse problem. Kouvelis P, Boyabatli O, Dong L, Li R, eds. Handbook of Integrated Risk Management in Global Supply Chains (John Wiley & Sons, Hoboken, NJ), 447–461.Crossref, Google Scholar
- (2014) Real options and merchant operations of energy and other commodities. Foundations and Trends in Tech., Inform. Oper. Management 6(3–4):161–331.Crossref, Google Scholar
- (2014) Merchant commodity storage and term structure model error. Manufacturing Service Oper. Management 17(3):302–320.Link, Google Scholar
- (2004) Stochastic Calculus for Finance II: Continuous-Time Models (Springer, New York).Crossref, Google Scholar
- (1999) Options in the real world: Lessons learned in evaluating oil and gas investments. Oper. Res. 47(1):1–15.Link, Google Scholar
- (2014) Valuation and Risk Management in Energy Markets (Cambridge University Press, New York).Crossref, Google Scholar
- (2012) Natural gas storage valuation, optimization, market and credit risk management. Working paper, Queen’s School of Business, Queen’s University, Kingston, Ontario, Canada.Google Scholar
- (2009) Natural gas storage valuation and optimization: A real options application. Naval Res. Logist. 56(3):226–238.Crossref, Google Scholar
- (2013) Accurate semi-Lagrangian time stepping for stochastic optimal control problems with application to the valuation of natural gas storage. SIAM J. Financial Math. 4(1):427–451.Crossref, Google Scholar
- (2012) Seasonal energy storage operations with limited flexibility: The price-adjusted rolling intrinsic policy. Manufacturing Service Oper. Management 14(3):455–471.Link, Google Scholar

