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...

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Veröffentlicht in:	The Energy journal (Cambridge, Mass.) Mass.), 2016-04, Vol.37 (2), p.61-88
Hauptverfasser:	Almansour, Abdullah, Insley, Margaret
Format:	Artikel
Sprache:	eng
Schlagworte:	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
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