STORAGE OPTIONS VALUATION USING MULTILEVEL TREES AND CALENDAR SPREADS

DOI10.1142/S0219024904002517MaRDI QIDQ3022105zbMATH OpenOpenAlexFDO

Authors Mihaela Manoliu

Publication date 22 June 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024904002517

zbMATH Keywords

calendar spread optionpath dependencestorage optiontree models

Mathematics Subject Classification ID

Recommendations

• Natural gas storage valuation and optimization: A real options application
• Gas storage valuation applying numerically constructed recombining trees
• Valuation of energy storage: an optimal switching approach
• Storage Costs in Commodity Option Pricing
• Real option valuation for reserve capacity

Cited in

(6)

• Real option valuation for reserve capacity
• Merchant commodity storage practice revisited
• A practical view on valuation of multi-exercise American style options in gas and electricity markets
• Storage Costs in Commodity Option Pricing
• Natural gas storage valuation and optimization: A real options application
• Gas storage valuation applying numerically constructed recombining trees

This page was built for publication: STORAGE OPTIONS VALUATION USING MULTILEVEL TREES AND CALENDAR SPREADS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3022105)