A Monte Carlo Methodology for Solving the Optimal Timber Harvest Problem with Stochastic Timber and Carbon Prices
Anahtar Kelimeler:
Optimal Harvest- American Option- Monte Carlo- Carbon SequestrationÖz
This article presents a Monte Carlo methodology for solving thestochastic optimal timber harvest problem modeled as a recurrent
American call option. A detailed description of the proposed method-
ology is given, and the Monte Carlo technique is contrasted with finite
difference methods typically used to find solutions of the optimal har-
vest problem with stochastic prices. The use of the methodology is
then demonstrated via an example. In the example, expected bare
land values and optimal harvest policies are calculated for a Douglas-
fir stand in western Washington State. It is assumed that the forest
owner derives revenue from traditional timber sales and carbon seques-
tration, and that prices of timber and carbon follow a known stochastic
process. Results of the calculations are discussed. MCFNS 2(2):67-77.
Referanslar
Brazee, R. J., and D. H. Newman, 1999. Observation on recent forest economics research on risk and uncertainty. Journal of Forest Economics 5(2):193-200.
Chladna, Z., 2007. Determination of optimal rotation period under stochastic wood and carbon prices. Forest Policy and Economics 9(8):1031-1045.
Dixit, A., and R. Pindyck, 1994. Investment under Uncertainty. Princeton University Press, Princeton, NJ.
Glasserman, P., 2004. Monte Carlo Methods in Financial Engineering. Springer-Verlag, New York.
Haight, R. G., 1993. The economics of Douglas-fir and red alder management with stochastic price trends. Canadian Journal of Forest Research 23:1695-1703.
Hull, C., John, 2003. Options, Futures, and Other Derivatives. Prentice Hall, Upper Saddle River, NJ.
Ibanez, A., and F. Zapatero, 2004. Monte Carlo valuation of American options through computation of the optimal exercise frontier. Journal of Financial and Quantitative Analysis 39(2):253-275.
Insley, M., 2002. A real options approach to the valuation of a forestry investment. Journal of Environmental Economics and Management 44:471-492.
Insley, M. C., and K. Rollins, 2005. On solving the multi-rotational timber harvesting problem with stochastic prices: A linear complementarity formulation. American Journal of Agricultural Economics 87(3):735-755.
Kaya, J., and J. Buongiorno, 1987. Economic harvesting of uneven-aged northern hardwood stands under risk: A Markovian decision model. Forest Science 33:889-907.
Lohmander, P., 1987. The economics of forest management under risk. Report 79, Swedish University of Agricultural Sciences, Department of Forest Economics, Umea.
Morck, R., E. Schwartz, and D. Stangeland, 1989. The valuation of forestry resources under stochastic prices and inventories. The Journal of Financial and Quantitative Analysis 24(4):473-487.
Newman, D. H., 1988. A discussion of the concept of the optimal forest rotation and a review of the recent literature. General Technical Report SE-48, USDA Forest Service, Southeastern Forest Experiment Station.
Norstrom, C. J., 1975. A stochastic model for the growth period decision in forestry. The Swedish Journal of Economics 77(3):329-337.
Plantinga, A. J., 1998. The optimal timber rotation: An option value approach. Forest Science 44(2):192-202.
Trigeorgis, L., 1996. Real options: Managerial flexibility and strategy in resource allocation. The MIT Press, Cambridge, MA.
İndir
Yayınlanmış
Sayı
Bölüm
Lisans
Authors who publish with this journal agree to the following terms:- Authors grant the journal right of first publication, with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) following the publication by the journal, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).
