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Optimal Process Operations: Valuing Real Options
thesis
posted on 2008-04-21, 00:00 authored by Anees AttarwalaThis thesis computes the value of flexibility embedded in production engineering processes. The flexibility is shown to be similar to a financial option, and is computed using option theoretic techniques. Different kinds of flexibilities are identified and two distinct cases are selected for this work. In the first case, a fuel mix flexibility problem is constructed and is solved for the optimum value over time. The second model problem deals with the flexibility associated with the operations of an energy process. A stochastic dynamic programming evaluation of the value function is performed in discrete time via trinomial trees. The value functions are analyzed with respect to the market parameters and several qualitative features are identified.
History
Date Modified
2017-06-02Research Director(s)
Dr. Jeffrey KantorCommittee Members
Dr. Thomas Cosimano Dr. Mark StadtherrDegree
- Master of Science in Chemical Engineering
Degree Level
- Master's Thesis
Language
- English
Alternate Identifier
etd-04212008-141117Publisher
University of Notre DameProgram Name
- Chemical Engineering
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