A valuation of a corn ethanol plant through a compound options model under skew-Brownian motions
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Springer
2023
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| Truy cập trực tuyến: | https://link.springer.com/article/10.1007/s10479-023-05249-x https://dlib.phenikaa-uni.edu.vn/handle/PNK/8458 |
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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 |
8.881002 |