Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes
نویسندگان
چکیده
منابع مشابه
Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes
We analyse a stochastic control problem for the valuation of a natural gas storage facility while taking into account operating characteristics. The underlying natural gas spot price dynamics is assumed to follow a time-inhomogeneous exponential Lévy process [6]. This underlying incorporates common features of gas spot prices such as seasonality, mean-reversion and price spikes with seasonal ju...
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ژورنال
عنوان ژورنال: International Journal of Computer Mathematics
سال: 2016
ISSN: 0020-7160,1029-0265
DOI: 10.1080/00207160.2016.1168518