Simple arbitrage model for battery storage optimization under price uncertainty. Demonstrates how to turn policy simulation output into a simple decision rule of when to buy and when to sell.
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.