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    Gas storage valuation using a Monte Carlo Method

    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: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 22 Apr 2021 14:10
    Last Modified: 09 Jun 2021 16:32
    URI: https://eprints.bbk.ac.uk/id/eprint/43979

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