A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation

Abstract

The valuation of a gas storage facility is characterized as a stochastic control problem, resulting in a Hamilton-Jacobi-Bellman (HJB) equation. In this paper, we present a semi-Lagrangian method for solving the HJB equation for a typical gas storage valuation problem. The method is able to handle a wide class of spot price models that exhibit mean… (More)
DOI: 10.1137/060672911

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