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...

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...

This paper analyzes the role of private storage in a market for a commodity (e.g. natural gas) whose supply is subject to the threat of an irreversible disruption. We focus on the medium term in which seasonality of demand and exhaustibility can be neglected. We characterize the price and...

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...