Couverture de Natural Gas Storage Valuation
Titre du livre:

Natural Gas Storage Valuation

VDM Verlag Dr. Müller (09-07-2009 )

Books loader

Omni badge éligible au bon d'achat
ISBN-13:

978-3-639-17466-3

ISBN-10:
3639174666
EAN:
9783639174663
Langue du livre:
Anglais
texte du rabat:
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.
Maison d'édition:
VDM Verlag Dr. Müller
Site Web:
http://www.vdm-verlag.de
de (auteur) :
Yun Li
Numéro de pages:
72
Publié le:
09-07-2009
Stock:
Disponible
Catégorie:
Économie
Prix:
49.00 €
Mots-clés:
Natural Gas, storage, Valuation

Books loader

Adyen::diners Adyen::jcb Adyen::discover Adyen::amex Adyen::mc Adyen::visa Adyen::cup Adyen::unionpay Adyen::paypal Paypal Virement bancaire

  0 produits dans le panier
Modifier le contenu du panier
Loading frontend
LOADING