Optimal forward contracting in LNG supply capacity investment
This paper contructs a stylized model of an LNG producer's decision on the level of committment to long-term supply arrangement. The model extends a conventional two-stage model of optimal hedging by accomodating two features commonly observed with LNG trading practice: (1) the forward price of LNG is stochastic at the time of forward contracting as it is linked to the spot price of an alternative fuel, namely crude oil, and (2) the producer has a choice over multiple regional gas markets to which it supplies LNG in short-term trading. The model also allows the producer to hedge its price risk through furtures markets of related energy commodities.
Year of publication: |
2007
|
---|---|
Authors: | Suenaga, Hiroaki |
Publisher: |
School of Economics and Finance |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Volatility dynamics of nymex natural gas futures prices
Suenaga, Hiroaki, (2006)
-
Valuing the risks and returns to the spot LNG trading
Suenaga, Hiroaki, (2007)
-
Volatility dynamics of NYMEX natural gas futures prices
Suenaga, Hiroaki, (2008)
- More ...