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, the precise impact of energy subsidies is not well understood. We analyze a large energy subsidy: the California Alternate …
Persistent link: https://www.econbiz.de/10012482589
The value of seasonal energy storage depends on how the firm best operates the storage to capture the seasonal price spread. Energy storage operations typically face limited operational flexibility characterized by the speed of storing and releasing energy. A widely used practice-based...
Persistent link: https://www.econbiz.de/10014178586
The purpose of this paper is the comparative analysis of four natural gas storage valuation approaches. In competitive natural gas markets the optimal valuation and operation of natural gas storages is a key task for natural gas companies operating storages. Within this paper, four spot based...
Persistent link: https://www.econbiz.de/10014040622
The existence of a financial gas market motivates the analysis of gas storage as a separate asset, using the market value context for utilization and valuation. In the recent literature, gas storage is typically analysed within a framework with a simple one-factor price dynamics that is solved...
Persistent link: https://www.econbiz.de/10014047125
This paper analyzes the role of storage for economies facing the risk of a gas supply disruption. We characterize the optimal/competitive transitory dynamics (accumulation, drainage and target stock). We partially relax the irreversibility hypothesis, by extending the model in two directions:...
Persistent link: https://www.econbiz.de/10014222555
We analyse a stochastic control problem for the valuation of a natural gas storage facility while taking into account operating characteristics. The underlying natural gas spot price dynamics is assumed to follow time-inhomogeneous exponential Lévy process by F.E. Benth and C. Sgarra. This...
Persistent link: https://www.econbiz.de/10013004738
Natural gas storages may be valuated by applying real options theory. However it is crucial, not to ignore that most evolving gas spot markets, like the German spot market, lack of liquidity. In this context, considering storage operators as price takers does not account for interdependencies of...
Persistent link: https://www.econbiz.de/10013139401
This paper studies the common jump dynamics in natural gas futures and spot markets within a bivariate autoregressive jump intensity-GARCH framework (BARJI-GARCH). We particularly examine the role of weather as a short-run demand factor and inventory as a short-run supply factor in explaining...
Persistent link: https://www.econbiz.de/10013148873
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