Implications of a regime-switching model on natural gas storage valuation and optimal operation
نویسندگان
چکیده
منابع مشابه
Implications of a Regime-Switching Model on Natural Gas Storage Valuation and Optimal Operation
In this paper, we propose a one-factor regime-switching model for the risk adjusted natural gas spot price and study the implications of the model on the valuation and optimal operation of natural gas storage facilities. We calibrate the model parameters to both market futures and options on futures. Calibration results indicate that the regime-switching model is a better fit to market data com...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2009
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697680802374791