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In this paper the authors tackle the gas storage evaluation, dividing its value in Intrinsic and Extrinsic. The … Extrinsic value appear to be more complicated. In literature we can find different approaches, and its evaluation is subject of …
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We show how to value a storage facility using Least Squares Monte Carlo (LSMC). We present a toy model to understand how to employ the LSMC algorithm and then show how to incorporate realistic constraints in the valuation including: the maximum capacity of the storage, injection and withdrawal...
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