Real Option Management of Commodity and Energy Conversion Assets

商品和能源转换资产的实物期权管理

• 批准号: 1129163
• 负责人: Nicola Secomandi
• 金额: $ 38.5万
• 依托单位: Carnegie-Mellon University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2011
• 资助国家: 美国
• 起止时间: 2011-09-01 至 2014-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1129163&HistoricalAwards=false
• 关键词: Real; Option; Management; Commodity; Energy

Managing commodity and energy conversion assets is difficult because it involves managing operational activities in the face of notoriously volatile commodity and energy prices. These activities include the production, processing, refining, transportation, storage, distribution, and physical trading of commodities and energy. The management of these activities is naturally modeled as the exercise of complex real options on commodity and energy prices. This gives rise to computationally intractable stochastic dynamic programming models. The goal of this award is to develop and analyze novel real options models of fundamental commodity and energy conversion assets, and to design effective and efficient novel approximate dynamic programming methods to compute near optimal operating policies and optimality bounds on their performance. This research will leverage in novel ways operations management models and analyses of operating policies, emerging operations research approaches to approximate dynamic programming based on math programming and Monte Carlo simulation techniques, and financial engineering models of the stochastic evolution of commodity and energy prices.If successful, this research will generate quantitative models and methods to support managers in maximizing the market value of commodity and energy infrastructure. This has the potential to benefit society at large because commodities and energy are used in virtually every manufacturing and service process, and commodity and energy conversion assets are typically managed heuristically in practice. This research will also benefit operations management, operations research, and financial engineering education by generating novel material for potential adoption in current and/or future courses on real options, providing an operations perspective on real options.

商品和能源转换资产的管理是困难的，因为它涉及到在商品和能源价格众所周知波动的情况下管理业务活动。这些活动包括商品和能源的生产、加工、精炼、运输、储存、分销和实物交易。对这些活动的管理自然被模拟为对商品和能源价格行使复杂的真实的期权。这就产生了计算上难以处理的随机动态规划模型。该奖项的目标是开发和分析基本商品和能源转换资产的新型真实的期权模型，并设计有效和高效的新型近似动态规划方法来计算接近最优的操作策略及其性能的最优性界限。这项研究将以新的方式利用运营管理模型和运营政策分析，新兴的基于数学规划和蒙特卡洛模拟技术的近似动态规划的运筹学方法，以及商品和能源价格随机演变的金融工程模型。这项研究将产生量化模型和方法，以支持管理人员最大限度地提高商品和能源基础设施的市场价值。这有可能使整个社会受益，因为商品和能源几乎用于每一个制造和服务过程，而商品和能源转换资产在实践中通常是按成本管理的。这项研究也将有利于运营管理，运筹学，金融工程教育产生新的材料，潜在的采用在当前和/或未来的课程真实的选项，提供一个操作的角度来看，真实的选项。