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• W3124358465 abstract "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 [4]. This underlying incorporates common features of gas spot prices such as seasonality, mean-reversion and price spikes with seasonal jump intensities. The corresponding HJB equation is the nonlinear PIDE which is solved by an explicit finite difference method for the special case where the model is driven by a time-dependent compound Poisson process. The numerical approach gives us both the value of the storage facility and optimal operating strategy depending on the gas price, current level of gas in the storage and time. The effects of seasonality and seasonal jump intensity are investigated by observing the surfaces of control strategies and contract values." @default.
• W3124358465 created "2021-02-01" @default.
• W3124358465 creator A5052030337 @default.
• W3124358465 creator A5086813439 @default.
• W3124358465 date "2016-04-15" @default.
• W3124358465 modified "2023-10-03" @default.
• W3124358465 title "Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes" @default.
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• W3124358465 doi "https://doi.org/10.1080/00207160.2016.1168518" @default.
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