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Natural Gas Storage Valuation
Inglese
106 b
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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.
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