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Using real option analysis to quantify ethanol policy impact on the firm's entry into and optimal operation of corn ethanol facilities

Maxwell, Christian; Davison, Matt - In: Energy Economics 42 (2014) C, pp. 140-151

Ethanol crush spreads are used to model the value of a facility which produces ethanol from corn. A real option analysis is used to investigate the effects of model parameters on the related managerial decisions of (i) how to operate the facility through optimal switching from idled to...

Persistent link: https://www.econbiz.de/10010868724

Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies

Sadorsky, Perry - In: Energy Economics 34 (2012) 1, pp. 248-255

In this paper, multivariate GARCH models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies. Four different multivariate GARCH models (BEKK, diagonal, constant conditional...

Persistent link: https://www.econbiz.de/10010868778

How much should we pay for interconnecting electricity markets? A real options approach

Cartea, Álvaro; González-Pedraz, Carlos - In: Energy Economics 34 (2012) 1, pp. 14-30

financial terms, the value of an interconnector is the same as a strip of real options written on the spread between power …-reverting jump process and express the value of these real options in closed-form. The valuation tool is applied to five pairs of …

Persistent link: https://www.econbiz.de/10011039669

Growth to value: Option exercise and the cross section of equity returns

Ai, Hengjie; Kiku, Dana - In: Journal of Financial Economics 107 (2013) 2, pp. 325-349

-to-market characteristics. We model two primitive assets: value assets and growth assets that are options on assets in place. The cost of option … place. Consequently, growth options are less risky than value assets, and the model features a value premium. Our model …

Persistent link: https://www.econbiz.de/10010616813

Is there dependence and systemic risk between oil and renewable energy stock prices?

Reboredo, Juan C. - In: Energy Economics 48 (2015) C, pp. 32-45

We study systemic risk and dependence between oil and renewable energy markets using copulas to characterize the dependence structure and to compute the conditional value-at-risk as a measure of systemic risk. We found significant time-varying average and symmetric tail dependence between oil...

Persistent link: https://www.econbiz.de/10011208283