The Impact of Stochastic Extraction Cost on the Value of an Exhaustible Resource: An Application to the Alberta Oil Sands
The optimal management of a non-renewable resource extraction project is studied when input and output prices follow correlated stochastic processes. The decision problem is specified by two Bellman equations describing the project when it is currently operating or mothballed. Solutions are determin...
Gespeichert in:
| Veröffentlicht in: | The Energy journal (Cambridge, Mass.) Mass.), 2016-04, Vol.37 (2), p.61-88 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 88 |
|---|---|
| container_issue | 2 |
| container_start_page | 61 |
| container_title | The Energy journal (Cambridge, Mass.) |
| container_volume | 37 |
| creator | Almansour, Abdullah Insley, Margaret |
| description | The optimal management of a non-renewable resource extraction project is studied when input and output prices follow correlated stochastic processes. The decision problem is specified by two Bellman equations describing the project when it is currently operating or mothballed. Solutions are determined numerically using the Least Squares Monte Carlo methodology. The analysis is applied to an oil sands project which uses natural gas during extracting and upgrading. The paper takes into account the co-movement between crude oil and natural gas prices and proposes two price models: one incorporates a long-run link between the two while the other has no such link. Incorporating a long-run relationship between oil and natural gas prices has a significant effect on the value of the project and its optimal operation and reduces the sensitivity of the project to the natural gas price process. |
| doi_str_mv | 10.5547/01956574.37.2.aalm |
| format | Article |
| fullrecord | <record><control><sourceid>gale_proqu</sourceid><recordid>TN_cdi_proquest_journals_2259545510</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><galeid>A573559655</galeid><jstor_id>24696748</jstor_id><sage_id>10.5547_01956574.37.2.aalm</sage_id><sourcerecordid>A573559655</sourcerecordid><originalsourceid>FETCH-LOGICAL-c587t-9cf3a710519a447599988b9c11d2b55950ddc66625c78c3d578572fb2a579d533</originalsourceid><addsrcrecordid>eNp9km1r3SAUgMNYYXdd_8BgIOzrkibGE-O-hUu3FgqF9eWrGGNyvSSaqYH138_0rusKlykoHJ_Ho4eTJB-LPAMg9DwvGFRASVbSDGdCjNObZFMwQlKW1-xtslmBdCXeJe-93-dxEFpvkse7nUJX0yxkQLZHt8HKnfBBS3TxK7gY1dagrfXx1KAQ2QcxLmpFhYnITiwRbkeFfihvFyfVV9QY1MzzqKV4koN98pqxVS4IdKNHdCtM5z8kJ70YvTr7s58m998u7raX6fXN96ttc51KqGlImexLQYscCiYIocAYq-uWyaLocAvAIO86WVUVBklrWXZAa6C4b7EAyjooy9Pk8-He2dmfi_KB7-NDTUzJMY4-ASjyF2oQo-La9Hb9_aS95A3QMiaqACKVHqEGZZQTozWq1zH8is-O8HF2atLyqPDlH6FdvDbKx8XrYRf8EKvtX-P4gEtnvXeq57PTk3CPvMj52hj8uTF4STnma2NE6fwgeTGol2L81_h0MPY-WPc3ByYVqyipy9-nIsGt</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2259545510</pqid></control><display><type>article</type><title>The Impact of Stochastic Extraction Cost on the Value of an Exhaustible Resource: An Application to the Alberta Oil Sands</title><source>Access via SAGE</source><source>EBSCOhost Business Source Complete</source><source>JSTOR Archive Collection A-Z Listing</source><creator>Almansour, Abdullah ; Insley, Margaret</creator><creatorcontrib>Almansour, Abdullah ; Insley, Margaret</creatorcontrib><description>The optimal management of a non-renewable resource extraction project is studied when input and output prices follow correlated stochastic processes. The decision problem is specified by two Bellman equations describing the project when it is currently operating or mothballed. Solutions are determined numerically using the Least Squares Monte Carlo methodology. The analysis is applied to an oil sands project which uses natural gas during extracting and upgrading. The paper takes into account the co-movement between crude oil and natural gas prices and proposes two price models: one incorporates a long-run link between the two while the other has no such link. Incorporating a long-run relationship between oil and natural gas prices has a significant effect on the value of the project and its optimal operation and reduces the sensitivity of the project to the natural gas price process.</description><identifier>ISSN: 0195-6574</identifier><identifier>EISSN: 1944-9089</identifier><identifier>DOI: 10.5547/01956574.37.2.aalm</identifier><language>eng</language><publisher>Los Angeles, CA: Energy Economics Education Foundation</publisher><subject>Bitumens ; Computer simulation ; Crude oil ; Economic models ; Extraction costs ; Fossil fuels ; Futures ; Natural gas ; Natural gas prices ; Natural gas storage ; Nonrenewable natural resources ; Nonrenewable resources ; Oil prices ; Oil sands ; Options (Finance) ; Petroleum mining ; Price volatility ; Prices and rates ; Resource management ; Stochastic models ; Stochastic processes ; Stochasticity ; Storage</subject><ispartof>The Energy journal (Cambridge, Mass.), 2016-04, Vol.37 (2), p.61-88</ispartof><rights>Copyright © 2016 International Association for Energy Economics</rights><rights>The Author(s)</rights><rights>COPYRIGHT 2016 International Association for Energy Economics</rights><rights>COPYRIGHT 2016 Sage Publications Ltd. (UK)</rights><rights>Copyright International Association for Energy Economics 2016</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c587t-9cf3a710519a447599988b9c11d2b55950ddc66625c78c3d578572fb2a579d533</citedby><cites>FETCH-LOGICAL-c587t-9cf3a710519a447599988b9c11d2b55950ddc66625c78c3d578572fb2a579d533</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://www.jstor.org/stable/pdf/24696748$$EPDF$$P50$$Gjstor$$H</linktopdf><linktohtml>$$Uhttps://www.jstor.org/stable/24696748$$EHTML$$P50$$Gjstor$$H</linktohtml><link.rule.ids>314,780,784,803,21819,27924,27925,43621,43622,58017,58250</link.rule.ids></links><search><creatorcontrib>Almansour, Abdullah</creatorcontrib><creatorcontrib>Insley, Margaret</creatorcontrib><title>The Impact of Stochastic Extraction Cost on the Value of an Exhaustible Resource: An Application to the Alberta Oil Sands</title><title>The Energy journal (Cambridge, Mass.)</title><description>The optimal management of a non-renewable resource extraction project is studied when input and output prices follow correlated stochastic processes. The decision problem is specified by two Bellman equations describing the project when it is currently operating or mothballed. Solutions are determined numerically using the Least Squares Monte Carlo methodology. The analysis is applied to an oil sands project which uses natural gas during extracting and upgrading. The paper takes into account the co-movement between crude oil and natural gas prices and proposes two price models: one incorporates a long-run link between the two while the other has no such link. Incorporating a long-run relationship between oil and natural gas prices has a significant effect on the value of the project and its optimal operation and reduces the sensitivity of the project to the natural gas price process.</description><subject>Bitumens</subject><subject>Computer simulation</subject><subject>Crude oil</subject><subject>Economic models</subject><subject>Extraction costs</subject><subject>Fossil fuels</subject><subject>Futures</subject><subject>Natural gas</subject><subject>Natural gas prices</subject><subject>Natural gas storage</subject><subject>Nonrenewable natural resources</subject><subject>Nonrenewable resources</subject><subject>Oil prices</subject><subject>Oil sands</subject><subject>Options (Finance)</subject><subject>Petroleum mining</subject><subject>Price volatility</subject><subject>Prices and rates</subject><subject>Resource management</subject><subject>Stochastic models</subject><subject>Stochastic processes</subject><subject>Stochasticity</subject><subject>Storage</subject><issn>0195-6574</issn><issn>1944-9089</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2016</creationdate><recordtype>article</recordtype><sourceid>N95</sourceid><sourceid>8G5</sourceid><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>AZQEC</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><sourceid>GNUQQ</sourceid><sourceid>GUQSH</sourceid><sourceid>M2O</sourceid><recordid>eNp9km1r3SAUgMNYYXdd_8BgIOzrkibGE-O-hUu3FgqF9eWrGGNyvSSaqYH138_0rusKlykoHJ_Ho4eTJB-LPAMg9DwvGFRASVbSDGdCjNObZFMwQlKW1-xtslmBdCXeJe-93-dxEFpvkse7nUJX0yxkQLZHt8HKnfBBS3TxK7gY1dagrfXx1KAQ2QcxLmpFhYnITiwRbkeFfihvFyfVV9QY1MzzqKV4koN98pqxVS4IdKNHdCtM5z8kJ70YvTr7s58m998u7raX6fXN96ttc51KqGlImexLQYscCiYIocAYq-uWyaLocAvAIO86WVUVBklrWXZAa6C4b7EAyjooy9Pk8-He2dmfi_KB7-NDTUzJMY4-ASjyF2oQo-La9Hb9_aS95A3QMiaqACKVHqEGZZQTozWq1zH8is-O8HF2atLyqPDlH6FdvDbKx8XrYRf8EKvtX-P4gEtnvXeq57PTk3CPvMj52hj8uTF4STnma2NE6fwgeTGol2L81_h0MPY-WPc3ByYVqyipy9-nIsGt</recordid><startdate>20160401</startdate><enddate>20160401</enddate><creator>Almansour, Abdullah</creator><creator>Insley, Margaret</creator><general>Energy Economics Education Foundation</general><general>SAGE Publications</general><general>International Association for Energy Economics</general><general>Sage Publications Ltd. (UK)</general><scope>AAYXX</scope><scope>CITATION</scope><scope>N95</scope><scope>XI7</scope><scope>3V.</scope><scope>7SP</scope><scope>7TB</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>88F</scope><scope>88I</scope><scope>8AF</scope><scope>8FD</scope><scope>8FE</scope><scope>8FG</scope><scope>8FK</scope><scope>8FL</scope><scope>8G5</scope><scope>ABJCF</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>ATCPS</scope><scope>AZQEC</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>BGLVJ</scope><scope>BHPHI</scope><scope>BKSAR</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FR3</scope><scope>FRNLG</scope><scope>F~G</scope><scope>GNUQQ</scope><scope>GUQSH</scope><scope>HCIFZ</scope><scope>K60</scope><scope>K6~</scope><scope>KR7</scope><scope>L.-</scope><scope>L6V</scope><scope>L7M</scope><scope>M0C</scope><scope>M1Q</scope><scope>M2O</scope><scope>M2P</scope><scope>M7S</scope><scope>MBDVC</scope><scope>PATMY</scope><scope>PCBAR</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PRINS</scope><scope>PTHSS</scope><scope>PYCSY</scope><scope>Q9U</scope><scope>S0X</scope></search><sort><creationdate>20160401</creationdate><title>The Impact of Stochastic Extraction Cost on the Value of an Exhaustible Resource: An Application to the Alberta Oil Sands</title><author>Almansour, Abdullah ; Insley, Margaret</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c587t-9cf3a710519a447599988b9c11d2b55950ddc66625c78c3d578572fb2a579d533</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2016</creationdate><topic>Bitumens</topic><topic>Computer simulation</topic><topic>Crude oil</topic><topic>Economic models</topic><topic>Extraction costs</topic><topic>Fossil fuels</topic><topic>Futures</topic><topic>Natural gas</topic><topic>Natural gas prices</topic><topic>Natural gas storage</topic><topic>Nonrenewable natural resources</topic><topic>Nonrenewable resources</topic><topic>Oil prices</topic><topic>Oil sands</topic><topic>Options (Finance)</topic><topic>Petroleum mining</topic><topic>Price volatility</topic><topic>Prices and rates</topic><topic>Resource management</topic><topic>Stochastic models</topic><topic>Stochastic processes</topic><topic>Stochasticity</topic><topic>Storage</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Almansour, Abdullah</creatorcontrib><creatorcontrib>Insley, Margaret</creatorcontrib><collection>CrossRef</collection><collection>Gale Business: Insights</collection><collection>Business Insights: Essentials</collection><collection>ProQuest Central (Corporate)</collection><collection>Electronics & Communications Abstracts</collection><collection>Mechanical & Transportation Engineering Abstracts</collection><collection>Access via ABI/INFORM (ProQuest)</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Global (Alumni Edition)</collection><collection>Military Database (Alumni Edition)</collection><collection>Science Database (Alumni Edition)</collection><collection>STEM Database</collection><collection>Technology Research Database</collection><collection>ProQuest SciTech Collection</collection><collection>ProQuest Technology Collection</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>Research Library (Alumni Edition)</collection><collection>Materials Science & Engineering Collection</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>Agricultural & Environmental Science Collection</collection><collection>ProQuest Central Essentials</collection><collection>ProQuest Central</collection><collection>Business Premium Collection</collection><collection>Technology Collection</collection><collection>Natural Science Collection</collection><collection>Earth, Atmospheric & Aquatic Science Collection</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>Engineering Research Database</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>ProQuest Central Student</collection><collection>Research Library Prep</collection><collection>SciTech Premium Collection</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>Civil Engineering Abstracts</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ProQuest Engineering Collection</collection><collection>Advanced Technologies Database with Aerospace</collection><collection>ABI/INFORM Global</collection><collection>Military Database</collection><collection>Research Library</collection><collection>Science Database</collection><collection>Engineering Database</collection><collection>Research Library (Corporate)</collection><collection>Environmental Science Database</collection><collection>Earth, Atmospheric & Aquatic Science Database</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central China</collection><collection>Engineering Collection</collection><collection>Environmental Science Collection</collection><collection>ProQuest Central Basic</collection><collection>SIRS Editorial</collection><jtitle>The Energy journal (Cambridge, Mass.)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Almansour, Abdullah</au><au>Insley, Margaret</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>The Impact of Stochastic Extraction Cost on the Value of an Exhaustible Resource: An Application to the Alberta Oil Sands</atitle><jtitle>The Energy journal (Cambridge, Mass.)</jtitle><date>2016-04-01</date><risdate>2016</risdate><volume>37</volume><issue>2</issue><spage>61</spage><epage>88</epage><pages>61-88</pages><issn>0195-6574</issn><eissn>1944-9089</eissn><abstract>The optimal management of a non-renewable resource extraction project is studied when input and output prices follow correlated stochastic processes. The decision problem is specified by two Bellman equations describing the project when it is currently operating or mothballed. Solutions are determined numerically using the Least Squares Monte Carlo methodology. The analysis is applied to an oil sands project which uses natural gas during extracting and upgrading. The paper takes into account the co-movement between crude oil and natural gas prices and proposes two price models: one incorporates a long-run link between the two while the other has no such link. Incorporating a long-run relationship between oil and natural gas prices has a significant effect on the value of the project and its optimal operation and reduces the sensitivity of the project to the natural gas price process.</abstract><cop>Los Angeles, CA</cop><pub>Energy Economics Education Foundation</pub><doi>10.5547/01956574.37.2.aalm</doi><tpages>28</tpages><oa>free_for_read</oa></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0195-6574 |
| ispartof | The Energy journal (Cambridge, Mass.), 2016-04, Vol.37 (2), p.61-88 |
| issn | 0195-6574 1944-9089 |
| language | eng |
| recordid | cdi_proquest_journals_2259545510 |
| source | Access via SAGE; EBSCOhost Business Source Complete; JSTOR Archive Collection A-Z Listing |
| subjects | Bitumens Computer simulation Crude oil Economic models Extraction costs Fossil fuels Futures Natural gas Natural gas prices Natural gas storage Nonrenewable natural resources Nonrenewable resources Oil prices Oil sands Options (Finance) Petroleum mining Price volatility Prices and rates Resource management Stochastic models Stochastic processes Stochasticity Storage |
| title | The Impact of Stochastic Extraction Cost on the Value of an Exhaustible Resource: An Application to the Alberta Oil Sands |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-26T08%3A40%3A49IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-gale_proqu&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=The%20Impact%20of%20Stochastic%20Extraction%20Cost%20on%20the%20Value%20of%20an%20Exhaustible%20Resource:%20An%20Application%20to%20the%20Alberta%20Oil%20Sands&rft.jtitle=The%20Energy%20journal%20(Cambridge,%20Mass.)&rft.au=Almansour,%20Abdullah&rft.date=2016-04-01&rft.volume=37&rft.issue=2&rft.spage=61&rft.epage=88&rft.pages=61-88&rft.issn=0195-6574&rft.eissn=1944-9089&rft_id=info:doi/10.5547/01956574.37.2.aalm&rft_dat=%3Cgale_proqu%3EA573559655%3C/gale_proqu%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=2259545510&rft_id=info:pmid/&rft_galeid=A573559655&rft_jstor_id=24696748&rft_sage_id=10.5547_01956574.37.2.aalm&rfr_iscdi=true |