What is a fair value of a gas storage facility? Case Study of Bergermeer facility, performed with KyStore.
GasTerra storage value 2013
KyStore software valuates GasTerra virtual gas storage capacities for second auction 2013/2014 capacity. Standard Bundled Unit (SBU) is estimated to be €2.83 (assuming 0% interest costs). This is 1.17 lower than estimated in November, and even 5.00 € lower than February last year.
Journal of Energy Markets: Gas storage valuation using a multi-factor price process
In this paper we demonstrate the application of multi-factor Least-Squares Monte Carlo to gas storage valuation. We study the impact of using multi-factor price processes on different aspects of the valuation such as convergence, average storage value and distribution of storage values in a numerical example.
Journal of Derivatives: Gas storage valuation using a Monte Carlo method
In this article, we develop a method for gas storage valuation using Monte Carlo (LSMC) techniques. The method incorporates realistic gas price dynamics and complex physical constraints. Specifically, we extend the Least Squares Monte Carlo method for American options to storage valuation.