Gas Storage Valuation: Price Modelling v. Optimization Methods
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- Petter Bjerksund & Gunnar Stensland & Frank Vagstad, 2011. "Gas Storage Valuation: Price Modelling v. Optimization Methods," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 203-228.
References listed on IDEAS
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Citations
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Cited by:
- Giulietti, Monica & Grossi, Luigi & Waterson, Michael, 2011.
"A Rough Examination of the value of gas storage,"
The Warwick Economics Research Paper Series (TWERPS)
967, University of Warwick, Department of Economics.
- Giulietti, Monica & Grossi, Luigi & Waterson, Michael, 2011. "A Rough Examination of the value of gas storage," Economic Research Papers 270757, University of Warwick - Department of Economics.
- Steffen, Bjarne & Weber, Christoph, 2016. "Optimal operation of pumped-hydro storage plants with continuous time-varying power prices," European Journal of Operational Research, Elsevier, vol. 252(1), pages 308-321.
- Nicola Secomandi, 2015. "Merchant Commodity Storage Practice Revisited," Operations Research, INFORMS, vol. 63(5), pages 1131-1143, October.
- Nemat Safarov & Colin Atkinson, 2017. "Natural Gas-Fired Power Plants Valuation And Optimization Under Lévy Copulas And Regime Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-38, February.
- Nicolas Curin & Michael Kettler & Xi Kleisinger-Yu & Vlatka Komaric & Thomas Krabichler & Josef Teichmann & Hanna Wutte, 2021. "A deep learning model for gas storage optimization," Papers 2102.01980, arXiv.org, revised Mar 2021.
- Nicola Secomandi & Guoming Lai & François Margot & Alan Scheller-Wolf & Duane J. Seppi, 2015. "Merchant Commodity Storage and Term-Structure Model Error," Manufacturing & Service Operations Management, INFORMS, vol. 17(3), pages 302-320, July.
- Misund, Bård & Oglend, Atle, 2016.
"Supply and demand determinants of natural gas price volatility in the U.K.: A vector autoregression approach,"
Energy, Elsevier, vol. 111(C), pages 178-189.
- Misund, Bård & Oglend, Atle, 2015. "Supply and Demand Determinants of Natural Gas Price Volatility in the U.K.: A Vector Autoregression Approach," UiS Working Papers in Economics and Finance 2015/10, University of Stavanger.
- Arvesen, Ø. & Medbø, V. & Fleten, S.-E. & Tomasgard, A. & Westgaard, S., 2013.
"Linepack storage valuation under price uncertainty,"
Energy, Elsevier, vol. 52(C), pages 155-164.
- Arvesen, Øystein & Medbø, Vegard & Fleten, Stein-Erik & Tomasgard, Asgeir & Westgaard, Sjur, 2012. "Linepack storage valuation under price uncertainty," MPRA Paper 43270, University Library of Munich, Germany.
- Bastian Felix, 2012. "Gas Storage Valuation: A Comparative Simulation Study," EWL Working Papers 1201, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Apr 2014.
- Patrick Hénaff & Ismail Laachir & Francesco Russo, 2018. "Gas Storage Valuation and Hedging: A Quantification of Model Risk," IJFS, MDPI, vol. 6(1), pages 1-27, March.
- Steffen, Bjarne & Weber, Christoph, 2013.
"Efficient storage capacity in power systems with thermal and renewable generation,"
Energy Economics, Elsevier, vol. 36(C), pages 556-567.
- Bjarne Steffen & Christoph Weber, 2011. "Efficient storage capacity in power systems with thermal and renewable generation," EWL Working Papers 1104, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Aug 2011.
- Löhndorf, Nils & Wozabal, David, 2021. "Gas storage valuation in incomplete markets," European Journal of Operational Research, Elsevier, vol. 288(1), pages 318-330.
- Cummins, Mark & Kiely, Greg & Murphy, Bernard, 2018. "Gas storage valuation under multifactor Lévy processes," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 167-184.
- Fleten, Stein-Erik & Bråthen, Espen & Nissen-Meyer, Sigurd-Erik, 2010. "Evaluation of static hedging strategies for hydropower producers in the Nordic market," MPRA Paper 27133, University Library of Munich, Germany.
- Joakim Dimoski & Stein-Erik Fleten & Nils Löhndorf & Sveinung Nersten, 2023. "Dynamic hedging for the real option management of hydropower production with exchange rate risks," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(2), pages 525-554, June.
- Secomandi, Nicola, 2016. "A tutorial on portfolio-based control algorithms for merchant energy trading operations," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 1-13.
- Nicolas Curin & Michael Kettler & Xi Kleisinger-Yu & Vlatka Komaric & Thomas Krabichler & Josef Teichmann & Hanna Wutte, 2021. "A deep learning model for gas storage optimization," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1021-1037, December.
- Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
- Monica Giulietti & Luigi Grossi & Michael Waterson, 2012.
"A Rough Analysis: Valuing Gas Storage,"
The Energy Journal, , vol. 33(4), pages 118-142, October.
- Monica Giulietti, Luigi Grossi, and Michael Waterson, 2012. "A Rough Analysis: Valuing Gas Storage," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
- Patrick Henaff & Ismail Laachir & Francesco Russo, 2013. "Gas storage valuation and hedging. A quantification of the model risk," Papers 1312.3789, arXiv.org.
- Felix, Bastian Joachim & Weber, Christoph, 2012. "Gas storage valuation applying numerically constructed recombining trees," European Journal of Operational Research, Elsevier, vol. 216(1), pages 178-187.
- Nemat Safarov & Colin Atkinson, 2016. "Natural gas-fired power plants valuation and optimisation under Levy copulas and regime-switching," Papers 1607.01207, arXiv.org, revised Jul 2016.
- Gilles Pag`es & Christian Yeo, 2024. "Convex ordering for stochastic control: the swing contracts case," Papers 2406.07464, arXiv.org, revised Jun 2024.
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More about this item
Keywords
Energy; uncertainty; flexibility; exercise strategy;All these keywords.
JEL classification:
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ENE-2008-10-28 (Energy Economics)
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