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- W2013509573 abstract "Recent developments in the oil prices have created new opportunities for trade. When the crude oil price is in contango, it may be profitable to enter into a forward contract and sell oil in the future for a delivery price higher than the current spot price. However, to take advantage of this opportunity, one has to have access to storage facilities and enough working capital. In this paper, we analyse the value of the option when oil is stored and the trader can sell it any time in the spot market or can issue a futures contract. We implement the two-factor stochastic model for oil prices and suggest a numerical evaluation method based on simulation and approximate dynamic programming." @default.
- W2013509573 created "2016-06-24" @default.
- W2013509573 creator A5033745552 @default.
- W2013509573 date "2011-01-01" @default.
- W2013509573 modified "2023-09-25" @default.
- W2013509573 title "Analysis of oil-storage trading using two-factor price model and simulation" @default.
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- W2013509573 doi "https://doi.org/10.1504/ijeme.2011.039611" @default.
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