Authors: Stéphane Goutte; Idris Kharroubi; Thomas Lim
Addresses: Université Paris 8 (LED), 2 rue de la Liberté, 93526 Saint-Denis Cedex, France; Paris School of Business (PSB), 59 Rue nationale, 75013 Paris, France ' LPSM UMR 8001, Sorbonne Université, France ' LaMME, UMR 8071, Ecole Nationale Supérieure d'Informatique pour l'Industrie et l'Entreprise, 91025 Evry, France
Abstract: The aim of this paper is to deal with the optimal choice between extraction and storage of crude oil during time under a large panel of constraints for a fixed maturity T. We consider a manager that owns an oil field from which he can extract oil and decide to sell or to store it. This operational strategy has to be done in continuous time and has to satisfy physical, operational and financial constraints such as: storage capacity, crude oil spot price volatility, amount quantity available for possible extraction or the maximum amount which could be invested at time t for the extraction choice. We solve the optimisation problem of the manager's profit under this large panel of constraints and provide an optimal strategy. We then deal with different numerical scenario cases to check the robustness and the corresponding optimal strategies given by our model.
Keywords: optimal strategy; oil extraction; oil storage; extraction choice.
International Journal of Global Energy Issues, 2018 Vol.41 No.1/2/3/4, pp.69 - 85
Received: 14 Jun 2017
Accepted: 29 Sep 2017
Published online: 29 May 2018 *