This paper builds upon the work of Kiely et al. [2015] to provide a storage valuation methodology which is capable of utilizing both market and historical information. We begin by extending the Mean Reverting Variance Gamma process to an arbitrary number of dimensions and by way of specific...

In this paper we study the modeling and computational bene fits of using Lévy processes and the Fast Fourier Transform (FFT) in the valuation of gas storage assets and, from a practitioners perspective, in creating market consistent valuations and hedging portfolios. The valuation methodology...