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Title: Real Options in the Energy Sector: The Case of Oil/Natural Gas Pipeline Networks
Author: Yiasoumis, Demetris
ISNI:       0000 0001 3575 2139
Awarding Body: Imperial College London
Current Institution: Imperial College London
Date of Award: 2008
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This thesis is concerned with the application of the real options methodology to value oiVnatural gas pipeline networks. A simple real option model for the valuation of an oil storage facility is presented initially to demonstrate the concept of physical energy asset valuation with respect to market price movements. The investment strategy underpinning:1he model relies on forward dynamic optimisation. We consider a single-period optimisation problem of an oiVnatural gas pipeline network. In this problem, the network is represented by a graph with vertices and arcs denoting various markets and pipelines, respectively. Each market has delivery and supply constraints and there are also pipeline capacity constraints. The objective is to maximise profit subject to satisfying all constraints by flowing oiVgas through the network. Two formulations, one path-based and the other arc-based, transforming the problem into a linear programming problem are described. The performance of the algorithm d~veloped for each formulation is evaluated. A real option model for an oil/natural gas pipeline network is presented. The model uses the arc formulation and Monte Carlo simulation. Its algorithmic implementation is tested. We extend the single-period optimisation problem by introducing multiple time periods and an oil/gas storage facility. An arc-based formulation leading to a -new linear programming problem is presented. We test the implementation algorithm constructed. A description of how to use the arc-based formulation and Monte Carlo simulation to develop a real option model for an oiVnatural gas pipeline network with storage is also provided. A real option model for an oil/natural gas pipeline network with storage is developed. The model is a stochastic dynamic programming approach and takes into account optionality that may be exercised throughout the lifetime of the network. The constructed algorithm's performance is investigated.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available