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A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions

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Bibliographic Details
Main Authors: Marta, Biancardi, Michele, Bufalo, Antonio Di, Bari
Format: Book
Language:English
Published: Springer 2023
Subjects:
price dependent operational decisions
corn ethanol
Online Access:https://link.springer.com/article/10.1007/s10479-023-05249-x
https://dlib.phenikaa-uni.edu.vn/handle/PNK/8458
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spelling oai:localhost:PNK-84582023-05-17T01:17:29Z A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions Marta, Biancardi Michele, Bufalo Antonio Di, Bari price dependent operational decisions corn ethanol CC BY In the last decades, the production of fuel ethanol from corn has spread as a valid renewable alternative to pursue sustainability goals. However the uncertain nature of both input (corn) and output (gasoline) prices, together with price dependent operational decisions, combine to make this difficult plant valuation require a real options approach. Moreover, this project is characterized by various sequential stages that contribute to increase its valuation difficulties. The purpose of this paper is to provide a reliable valuation methodology of a corn ethanol plant project able to consider the characteristics of the project. We apply the compound Real Options Approach to price a corn ethanol plant project considering that the corn and gasoline prices both follow a skew-geometric Brownian motion. We also propose a case study to show a real implementation of our theoretical model. 2023-05-17T01:17:29Z 2023-05-17T01:17:29Z 2023 Book https://link.springer.com/article/10.1007/s10479-023-05249-x https://dlib.phenikaa-uni.edu.vn/handle/PNK/8458 en application/pdf Springer
institution Digital Phenikaa
collection Digital Phenikaa
language English
topic price dependent operational decisions
corn ethanol
spellingShingle price dependent operational decisions
corn ethanol
Marta, Biancardi
Michele, Bufalo
Antonio Di, Bari
A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions
description CC BY
format Book
author Marta, Biancardi
Michele, Bufalo
Antonio Di, Bari
author_facet Marta, Biancardi
Michele, Bufalo
Antonio Di, Bari
author_sort Marta, Biancardi
title A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions
title_short A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions
title_full A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions
title_fullStr A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions
title_full_unstemmed A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions
title_sort valuation of a corn ethanol plant through a compound options model under skew-brownian motions
publisher Springer
publishDate 2023
url https://link.springer.com/article/10.1007/s10479-023-05249-x
https://dlib.phenikaa-uni.edu.vn/handle/PNK/8458
_version_ 1772331156077805568
score 8.891695

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