Chen, Zhuliang; Forsyth, Peter - In: Quantitative Finance 10 (2010) 2, pp. 159-176
the implications of the model on the valuation and optimal operation of natural gas storage facilities. We calibrate the … value gas storage. We extend a semi-Lagrangian timestepping scheme from Chen and Forsyth (2007) to solve the gas storage … also indicate that the regime-switching model can generate operational strategies for gas storage facilities that reflect …