UH  


Department of Mathematics




 Colloquium
 > Current semester
 > Next semester
 > (Next)2 semester
 > Past semesters
 > Directions/maps

 > Undergraduate
         Colloquium





For further information, or to suggest a colloquium speaker, please contact the organizer.



To subscribe to the Colloquium mailing-lists, please email the organizer.



Print Announcement   


Nicola Secomandi

Carnegie Mellon University



Analysis and Enhancement of Practice-based Policies for the Real Option Management of Commodity Storage Assets



March 19, 2014
3:00pm    PGH 646



Abstract
 

The real option management of commodity storage assets is an important practical problem. Practitioners heuristically solve the resulting stochastic optimization model using the rolling intrinsic (RI) and rolling basket of spread options (RSO) policies. Combined with Monte Carlo simulation, these policies typically yield near optimal lower bound estimates on the value of storage. This paper provides novel structural and numerical support for the use of the RI and RSO policies, and enhances them by developing a simple and effective dual upper bound to be used in conjunction with these policies. Moreover, this work emphasizes the superiority of the RI policy over the RSO policy and proposes a variant of the RSO policy that, on the considered instances, slightly improves on the average performance of the RSO policy but yields a more substantial improvement when the suboptimality of this policy is more pronounced.

Available at   https://student-3k.tepper.cmu.edu/gsiadoc/wp/2011-E11.pdf








Webmaster   University of Houston    ---    Last modified:  April 11 2016 - 18:14:43

Feedback Contact U H Site Map Privacy and Policies U H System Statewide Search Compact with Texans State of Texas