エネルギー資源の備蓄運用オプション

カテゴリ: 論文誌(論文単位)

グループ名: 【C】電子・情報・システム部門

発行日: 2012/04/01

タイトル(英語): Option to Operate a Reserve of Energy Resource

著者名: 浦手　健吾（遠州トラック（株）），瀬古沢　照治（神奈川大学大学院工学研究科）

著者名(英語): Kengo Urate (Enshu Truck Co., Ltd.), Teruji Sekozawa (Graduate School of Engineering, Kanagawa University)

キーワード: 石油備蓄，原油価格高騰，オプション価格，スウィング・オプション，産業連関分析　　oil reserve，spike in oil prices，option price，swing option，input-output analysis

要約(英語): In this paper, the value generated by releasing petroleum reserves at the time of a crude oil price spike is analyzed to show the utility of releasing petroleum reserves. Japan's petroleum reserve currently only releases oil for the purpose of coping with a crude oil supply disruption. However, at present no disruptions to the supply of crude oil are occurring. To determine the value of the petroleum reserve if reserves are released when crude oil price spikes occur, option theory based on financial engineering is used to quantitatively calculate the value of a release into a market with stochastically changing prices. In addition, by examining the value that would have been generated as a function of release price if petroleum reserves had been released at the time of the crude oil price spike of 2008, it is possible to demonstrate the utility of such a release. Furthermore, input-output analysis is used to measure the impact on petrochemical product industries and other industries affected by price increases when crude oil price spikes occur to determine the degree of the price mitigation effect of a petroleum reserve with a release function.

本誌: 電気学会論文誌C（電子・情報・システム部門誌） Vol.132 No.4 （2012）

本誌掲載ページ: 540-547 p

原稿種別: 論文／日本語

電子版へのリンク: https://www.jstage.jst.go.jp/article/ieejeiss/132/4/132_4_540/_article/-char/ja/