Optimal valuation of natural gas storage

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dc.contributor.advisorWare, Antony F.
dc.contributor.authorOgunsolu, Mobolaji Olutomi
dc.date.accessioned2017-12-18T22:29:00Z
dc.date.available2017-12-18T22:29:00Z
dc.date.issued2012
dc.descriptionBibliography: p. 85-87en
dc.description.abstractThis thesis focuses on the valuation of natural gas storage. We investigate the peculiar behavior of gas prices including the distribution of log returns, mean reversion and sea­sonality. We then model natural gas spot prices as a two-factor stochastic differential equation with mean reversion and seasonality properly accounted for in the model. These characteristics are common to commodities ( electricity, gas, agricultural products), un­like other financial assets (for example stocks, bonds etc.) whose availability and usage are not seasonal in nature and whose prices do not tend to revert back to an average long term mean. In addition, we also exploit the relationship between spot prices and futures prices to model and calibrate natural gas price spot and futures prices. Using the two-factor gas price model, we model the value of a gas storage as a stochastic control problem [8]. The timing optionality of the gas storage problem makes it similar to a constrained American option on the inter-temporal spread of gas prices. This problem can be solved by extending the Least Squares Monte Carlo (LSM) approach of Longstaff and Schwartz (2001) for pricing early exercise options [20].
dc.format.extentviii, 87 leaves : ill. ; 30 cm.en
dc.identifier.citationOgunsolu, M. O. (2012). Optimal valuation of natural gas storage (Master's thesis, University of Calgary, Calgary, Canada). Retrieved from https://prism.ucalgary.ca. doi:10.11575/PRISM/4626en_US
dc.identifier.doihttp://dx.doi.org/10.11575/PRISM/4626
dc.identifier.urihttp://hdl.handle.net/1880/105627
dc.language.isoeng
dc.publisher.institutionUniversity of Calgaryen
dc.publisher.placeCalgaryen
dc.rightsUniversity of Calgary graduate students retain copyright ownership and moral rights for their thesis. You may use this material in any way that is permitted by the Copyright Act or through licensing that has been assigned to the document. For uses that are not allowable under copyright legislation or licensing, you are required to seek permission.
dc.titleOptimal valuation of natural gas storage
dc.typemaster thesis
thesis.degree.disciplineMathematics and Statistics
thesis.degree.grantorUniversity of Calgary
thesis.degree.nameMaster of Science (MSc)
ucalgary.item.requestcopytrue
ucalgary.thesis.accessionTheses Collection 58.002:Box 2075 627942919
ucalgary.thesis.notesUARCen
ucalgary.thesis.uarcreleaseyen
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