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dc.contributor.authorBaba, Amina-Feriel
dc.contributor.authorCreti, Anna
dc.contributor.authorMassol, Olivier
dc.date.accessioned2021-02-22T11:31:46Z
dc.date.available2021-02-22T11:31:46Z
dc.date.issued2020
dc.identifier.issn0140-9883
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/21608
dc.language.isoenen
dc.subjectLNG arbitrageen
dc.subjectDestination flexibility optionen
dc.subjectVolatilityen
dc.subjectTVARen
dc.subjectMonte Carlo simulationen
dc.subject.ddc330.1en
dc.subject.classificationjelQ.Q4.Q40en
dc.subject.classificationjelM.M3.M31en
dc.subject.classificationjelC.C1.C15en
dc.subject.classificationjelC.C3.C32en
dc.titleWhat can be learned from the free destination option in the LNG imbroglio?en
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe examine the profitability of flexible routing by LNG cargoes for a single supplier taking into account uncertainty in the medium-term dynamics of gas markets. First, we model the trajectory of natural gas prices in Asia, Northern America, and Europe using a Threshold Vector AutoRegression representation (TVAR) in which the system's dynamics switches back and forth between high and low regimes of oil price volatility. We then use the generalized impulse response functions (GIRF) obtained from the estimated threshold model to analyze the effects of volatility shocks on the regional gas markets dynamics. Lastly, the valuation of destination flexibility in LNG supplies is conducted using a real option approach. We generate a sample of possible future regional price trajectories using Monte Carlo simulations of our empirical model and determine for each trajectory the optimal shipping decisions and their profitability. Our results portend a substantial source of profit for the industry and reveal future movements of vessels. We discuss the conditional impact of destination flexibility on the globalization of natural gas markets.en
dc.relation.isversionofjnlnameEnergy Economics
dc.relation.isversionofjnlvolVolume 89en
dc.relation.isversionofjnlissueJune 2020en
dc.relation.isversionofjnldate2020-06
dc.relation.isversionofjnlpages104764en
dc.relation.isversionofdoi10.1016/j.eneco.2020.104764en
dc.relation.isversionofjnlpublisherIPC Science and Technology Pressen
dc.subject.ddclabelThéorie économiqueen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2021-02-22T09:54:09Z
hal.person.labIds163511
hal.person.labIds163511
hal.person.labIds95291
hal.faultCode{"duplicate-entry":{"hal-02955119":{"doi":"1.0"}}}


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