Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Natural Gas Storage Valuation

Natural Gas Storage Valuation

Li, Yun

Paperback

Business General

ISBN10: 3639174666
ISBN13: 9783639174663
Publisher: Blues Kids Of Amer
Published: Jul 9 2009
Pages: 72
Weight: 0.26
Height: 0.17 Width: 6.00 Depth: 9.00
Language: English
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.

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