Natural gas storage valuation is a challenging topic. It requires
both appropriate price models and optimization models. We assume
that each forward price follows a geometric Brownian motion
process. Spot price also follows a geometric Brownian motion
process, but its expectation changes from month to month. Since
optimization models are independent of price simulations,
alternative price models can be implemented in the valuation.
Various models are used for storage valuation, including "intrinsic
rolling with spot and forward," Monte Carlo simulation with
ordinary least square regression, and Monte Carlo simulation with
stochastic dual dynamic programming. The first methodology takes
both forward and spot prices into account, while the other two
methodologies only use spot price. The results show that many
factors can impact the value of a storage, including the term
structure of the forward prices, volatilities of forward and spot
prices, and the operational flexibility of the storage.
General
Imprint: |
VDM Verlag
|
Country of origin: |
Germany |
Release date: |
July 2009 |
First published: |
July 2009 |
Authors: |
Yun Li
|
Dimensions: |
229 x 152 x 4mm (L x W x T) |
Format: |
Paperback - Trade
|
Pages: |
72 |
ISBN-13: |
978-3-639-17466-3 |
Categories: |
Books >
Business & Economics >
Industry & industrial studies >
General
|
LSN: |
3-639-17466-6 |
Barcode: |
9783639174663 |
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