In their article ''Gas Storage Valuation in Incomplete Markets“ [1], Nils Löhndorf and David Wozabal show an alternative approach to risk-neutral pricing for for valuation of gas storage facilities. The authors argue that when markets are incomplete the value of storage depends on individual expectations of future price dynamics, specific institutional, and organizational constraints, as well as individual risk preferences. The two researchers show that rolling intrinsic valuation, which is popular among energy merchants, is an inconsistent pricing rule when markets are incomplete. They formulate the storage valuation problem as a multistage stochastic program and use QUASAR to calculate the extrinsic value of storage. The article demonstrates how to effectively discretize multi-dimensional term structure models and how to use dynamic risk measures for hedging the value of storage.
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[1] Löhndorf N, Wozabal D. 2020. Gas storage valuation in incomplete markets. European Journal of Operational Research 288(1), 318-330.