Gas Storage Valuation: A Comparative Simulation Study
نویسندگان
چکیده
منابع مشابه
Gas Storage Valuation: A Comparative Simulation Study
The purpose of this paper is the comparative analysis of four natural gas storage valuation ap proaches. In competitive natural gas markets the optimal valuation and operation of natural gas stor ages is a key task for natural gas companies operating storages. Within this paper, four spot based valuation approaches are analyzed regarding computational time and accuracy. In particular, explicit ...
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Various approaches to natural gas storage valuation applying real options theory have been developed in recent years. Postulating storage operators as price takers these methodologies ignore the important fact that most evolving gas spot markets, like the German spot market, lack of liquidity. Thus, considering storage operators as price takers does not account for interdependencies of storage ...
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In this paper we present an algorithm for the valuation and optimal operation of natural gas storage facilities. Real options theory is used to derive nonlinear partial-integro-differential equations (PIDEs) for the valuation and optimal operating strategies. The equations are designed to incorporate a wide class of spot price models that can exhibit the same time-dependent, mean-reverting dyna...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2089268