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Research Article

Two-Stage Stochastic Model of Conversion Flexibility in Oil Refining: Monotonic Benefit and Conditional Value Erosion

정유공정 전환유연성의 2단계 확률모형: 단조 이득과 조건부 가치 소멸의 구조적 분석

Chan Su Lim1*
임 찬수1*
1Manager, Government Affairs Team 1, GS Caltex Corp.
1부장, GS칼텍스 정책1팀
*Corresponding Author
31 March 2026. pp. 117-159
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Abstract

This study investigates the economic Value of Conversion (VoC) of heavy-to-light conversion units in petroleum refining processes under uncertain crude oil price environments by simplifying existing complex models into a two-stage stochastic programming model with a single-crude, dual-product structure. Since the conversion process embodies an option structure that includes “the right not to use,” it never reduces expected profit; however, its economic value is determined by the tail distribution where the spread exceeds conversion costs and converges to zero under certain conditions. Mathematical analysis reveals that the economic value approaches nearly zero (VoC≈0) when conversion costs are high, spread volatility is low, or the heavy oil fraction in crude is low. These findings are validated through numerical experiments reflecting 2020-2024 Korean refining market data and phase diagram analysis. By employing a minimal structural model, this study clarifies the dual characteristics of conversion flexibility—“monotonic benefit” and “conditional value erosion”—and derives critical curves in the parameter space of spread mean and volatility, conversion cost, and heavy oil fraction. The results provide quantitative guidelines directly applicable to refiners’ investment decisions on conversion facilities and government prioritization of policy support.

Keywords
Oil Refining Industry
Conversion Flexibility
Real Options
Two-stage Stochastic Programming
Value of Conversion (VoC)

본 연구는 불확실한 유가 환경에서 정유공정 내 중질유 분해시설(heavy-to-light conversion unit)이 갖는 전환유연성(conversion flexibility)의 경제적 가치(Value of Conversion, VoC)를 규명하기 위해, 기존 복합 모형을 단일 원유-이원 제품 구조의 2단계 확률계획 모형으로 단순화하였다. 전환공정은 “사용하지 않을 권리”를 포함하는 옵션 구조를 가지므로 기대이익을 절대 감소시키지 않으나, 그 경제적 가치는 스프레드가 전환비용을 초과하는 꼬리 분포(tail distribution)에 의해 결정되며 특정 조건에서 0으로 수렴한다. 수리적 분석 결과, 전환비용이 높거나, 스프레드 변동성이 낮거나, 원유의 중질유 비율이 낮은 경우 경제적 가치는 거의 0에 가까워지며(VoC≈0), 이는 2020-2024년 한국 정유시장 데이터를 반영한 수치실험과 위상도(phase diagram) 분석을 통해 검증되었다. 본 연구는 최소 구조 모형을 통해 전환유연성의 “단조 이득(monotonic benefit)”과 “조건부 가치 소멸(conditional value erosion)”이라는 이중 특성을 명료화하였으며, 스프레드 평균과 변동성, 전환비용, 중질유 비율의 공간에서 임계곡선을 도출함으로써 정유기업의 전환설비 투자 의사결정 및 정부의 정책 지원 우선순위 설정에 직접 활용 가능한 정량적 가이드라인을 제공한다.

키워드
정유 산업
전환유연성
실물 옵션
2단계 확률계획법
전환 가치 평가
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Information
  • Publisher :Korea Energy Economic Institute·Korea Resource Economics Association
  • Publisher(Ko) :에너지경제연구원·한국자원경제학회
  • Journal Title :Korean Energy Economic Review
  • Journal Title(Ko) :에너지경제연구
  • Volume : 25
  • No :1
  • Pages :117-159
  • Received Date : 2026-01-31
  • Revised Date : 2026-03-19
  • Accepted Date : 2026-03-23
  • DOI :https://doi.org/10.22794/keer.2026.25.1.004
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