Boogert, A. and de Jong, C. (2006) Gas storage valuation using a Monte Carlo Method. Working Paper. Department of Economics, Mathematics and Statistics, London, UK.
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Abstract
Developed countries increasingly rely on gas storage for security of supply. Widespread deregulation has created markets that help assign an objective value to existing and new to build storages. Storage valuation is nevertheless a challenging task if we consider both the financial and physical aspects of storage. In this paper we develop a Monte Carlo valuation method, which can incorporate realistic gas price dynamics and complex physical constraints. In specific we extend the Least Squares Monte Carlo method for American options to storage valuation. We include numerical results and show ways to improve computational speed.
Metadata
| Item Type: | Monograph (Working Paper) |
|---|---|
| Additional Information: | BWPEF 0704: ISSN 1745-8587 |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 22 Apr 2021 14:10 |
| Last Modified: | 02 Aug 2023 18:09 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/43979 |
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