Blending under uncertainty: Real options analysis of ethanol plants and biofuels mandates

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• 作者：Hamed Ghoddusi ^{hghoddus@stevens.edu}
• 关键词：Q41 ; Q42 ; G13 ; G31 ; C6 ; D21
• 刊名：Energy Economics
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：61
• 期：Complete
• 页码：110-120
• 全文大小：1651 K
• 卷排序：61

文摘

The value of an ethanol producer, which benefits from both low and high gasoline prices in the short-run, is modeled. We show that the value can be approximated by a strangle option. A dynamic model of ethanol plant value is proposed and numerically solved. The value provided by a 10% blend mandate to be around $150,000,000 for a representative ethanol unit. The results offer a novel view of oil and feedstock price risks in contrast to the previous results.