Economic Foundations of Energy Investments - Green Energy and Efficiency: An Economic Perspective - page 75

Fig. 7 ICE EUA Futures 08/23/2013

In a GBM model, the expected value increases exponentially instead of moving
toward the long-term equilibrium value asymptotically as occurs in mean reverting
models.
In the case examined here the estimated value is de a k ¼ 0395. In this case,

if the convenience yield d is low a k will be close to the riskless interest rate
because of the possibilities of coverage via storage.

0

:

4.1 The Case of the 3:2:1 Crack Spread

This subsection combines information from previous subsections to calculate the
future value of a 3:2:1 crack spread.
In this case 3:2:1 three barrels of crude oil produce 2 barrels of gasoline and 1
barrel of distillate fuel oil.
These data can be used to calculate the margin per barrel of crude oil:

2
3 F RB ðt ; TÞþ

2
3 F HO ðt ; TÞF CL ðt ; TÞ

M T ¼ ð 18 Þ

where the superindexes indicate Gasoline (RB), Fuel Oil (HO) and Crude Oil (CL).
In this case the results of the parameter estimation with an IGBM process are in
Table 5 .
The results for this estimate and the real data are shown in Fig. 8 .