Matches in Harvard for { <http://id.lib.harvard.edu/aleph/007378126/catalog> ?p ?o. }
Showing items 1 to 20 of
20
with 100 items per page.
- catalog abstract "This paper examines the use of contingent claim analysis to evaluate the option of retrofitting a coal gasifier on an existing gas-fired power plant in order to take advantage of changes in the relative prices of natural gas and coal. Commodity price changes over time were modeled by binomial stochastic processes, and the price of natural gas is first assumed to follow a Wiener process over time. The option to wait before retrofitting the gasifier was found to be very valuable to the utility. The volatility and convenience yield of natural gas prices were shown to have a strong influence on the exact option value. Uncertainties surrounding future gasifier capital costs proved to be less critical. The paper also examined the case where the price of natural gas follows a mean-reverting process over time, and found that the option value can be substantially affected.".
- catalog contributor b10186419.
- catalog contributor b10186420.
- catalog created "1994.".
- catalog date "1994".
- catalog date "1994.".
- catalog dateCopyrighted "1994.".
- catalog description "Includes bibliographical references (p. 30-33).".
- catalog description "Supported by the Nuclear Engineering Department and the Center for Energy and Environmental Policy Research.".
- catalog description "This paper examines the use of contingent claim analysis to evaluate the option of retrofitting a coal gasifier on an existing gas-fired power plant in order to take advantage of changes in the relative prices of natural gas and coal. Commodity price changes over time were modeled by binomial stochastic processes, and the price of natural gas is first assumed to follow a Wiener process over time. The option to wait before retrofitting the gasifier was found to be very valuable to the utility. The volatility and convenience yield of natural gas prices were shown to have a strong influence on the exact option value. Uncertainties surrounding future gasifier capital costs proved to be less critical. The paper also examined the case where the price of natural gas follows a mean-reverting process over time, and found that the option value can be substantially affected.".
- catalog extent "33 p. :".
- catalog isPartOf "MIT-CEEPR (Series) ; 94-002WP.".
- catalog isPartOf "MIT-CEEPR ; 94-002WP".
- catalog issued "1994".
- catalog issued "1994.".
- catalog language "eng".
- catalog publisher "Cambridge, Mass. : Center for Energy and Environmental Policy Research, Massachusetts Institute of Technology,".
- catalog subject "Coal gasification plants Economic aspects.".
- catalog title "Option valuation of flexible investments : the case of a coal gasifier / by Olivier Herbelot.".
- catalog type "text".