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    Kyos Consulting - News & Highlights

    News & Highlights

    KYOS methodology explained in Journal of Energy Markets

    Published in Q1-2012

    Gas storage valuation using a multi-factor price process

    Journal of Energy Markets, 2012
    Cyriel de Jong (KYOS) and Alexander Boogert

    Summary: In this article we demonstrate how a multi-factor price process can be used for the valuation of gas storage. The inclusion of multiple factors in the least-squares Monte Carlo method allows for a more realistic representation of risk and reward. It also allows us to study in more detail the impact of hedging and find that a simple static hedge can reduce the spot price risk considerably.

    This paper is based on the methodologies that are implemented in the KyStore software. KyStore can be used for pricing, risk managing and optimizing gas storage assets or contracts.

    ► click here to download the paper

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