Natural gas storage valuation and optimization: A real options application
From MaRDI portal
Publication:3621931
DOI10.1002/nav.20327zbMath1158.90428OpenAlexW1963737229MaRDI QIDQ3621931
No author found.
Publication date: 22 April 2009
Published in: Naval Research Logistics (NRL) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/nav.20327
Related Items (18)
Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes ⋮ Optimal Hour-Ahead Bidding in the Real-Time Electricity Market with Battery Storage Using Approximate Dynamic Programming ⋮ A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables ⋮ Partial differential equation methods for stochastic dynamic optimization: an application to wind power generation with energy storage ⋮ A methodology to assess the economic impact of power storage technologies ⋮ A multi-period stochastic portfolio optimization model applied for an airline company in the EU ETS ⋮ Stochastic second-order-cone complementarity problems: expected residual minimization formulation and its applications ⋮ Optimal trading of imbalance options for power systems using an energy storage device ⋮ Gas storage valuation applying numerically constructed recombining trees ⋮ NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING ⋮ Relationship between least squares Monte Carlo and approximate linear programming ⋮ A general storage model with applications to energy systems ⋮ Infeasible interior-point algorithms based on sampling average approximations for a class of stochastic complementarity problems and their applications ⋮ Monte Carlo methods via a dual approach for some discrete time stochastic control problems ⋮ Utility indifference pricing and hedging for structured contracts in energy markets ⋮ Gas storage valuation in incomplete markets ⋮ Merchant Commodity Storage Practice Revisited ⋮ A deep learning model for gas storage optimization
Cites Work
- Numerical methods for the pricing of swing options: a stochastic control approach
- STORAGE OPTIONS VALUATION USING MULTILEVEL TREES AND CALENDAR SPREADS
- Valuation of Commodity-Based Swing Options
- A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
- User’s guide to viscosity solutions of second order partial differential equations
- Option pricing when underlying stock returns are discontinuous
This page was built for publication: Natural gas storage valuation and optimization: A real options application
