Posts on Gas Markets

Spot-based valuation of a storage for natural gas over the course of one year. Model prices as one-factor model. Learn how to approximate storage value and delta positions.

In their article "Gas Storage Valuation in Incomplete Markets" Nils Löhndorf and David Wozabal propose a multistage stochastic programming model for extrinsic valuation and optimization of natural...

Learn how to calculate the extrinsic value of storage when using an empirical model of term structure dynamics.