Quantifying Natural Gas Storage Optionality: A Two-Factor Tree Model

@article{Parsons2013QuantifyingNG,
  title={Quantifying Natural Gas Storage Optionality: A Two-Factor Tree Model},
  author={Cliff Parsons},
  journal={The Journal of Energy Markets},
  year={2013},
  volume={6},
  pages={95-124}
}
  • Cliff Parsons
  • Published 2013
  • Economics
  • The Journal of Energy Markets
We find evidence of strong mean-reversion in U.S. natural gas prices and proceed to test a valuation model of natural gas storage leases based on mean-reversion’s eects. The model utilizes a two-factor tree in which both factors mean-revert, and the model calibrates to current market conditions, accounts for volume constraints, and can be applied to historical data. In applying the model to data on U.S. natural gas, we find that the model can consistently capture large amounts of optionality… Expand
18 Citations

References

SHOWING 1-10 OF 18 REFERENCES
Natural gas storage valuation and optimization: A real options application
Short-Term Variations and Long-Term Dynamics in Commodity Prices
STORAGE OPTIONS VALUATION USING MULTILEVEL TREES AND CALENDAR SPREADS
Gas Storage Valuation Using a Monte Carlo Method
Valuation of Commodity-Based Swing Options
A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
Gas Storage and Supply Guarantees : An Optimal Switching Approach
Optimal Commodity Trading with a Capacitated Storage Asset
Options, Futures, and Other Derivatives
Energy and Power Risk Management
...
1
2
...