Intrinsic Storage Valuation by Variational Analysis

Dmitry Lesnik

Papers from arXiv.org

Abstract: The mathematical problem concerning intrinsic storage optimisation is formulated and solved by means of variational analysis. The solution, though obtained in implicit form, still sheds light on many important features of the optimal exercise strategy. It is shown how the solution depends on different constraint types including carry cost and cycle constraint. Additionally, the relationship between intrinsic and stochastic solutions is investigated. In particular, we show that the optimal stochastic exercise decision is always close to the intrinsic one.

Date: 2015-06
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1506.06979 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1506.06979

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().