Hénaff, Patrick; Laachir, Ismail; Russo, Francesco - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-27
This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The contributions of this paper are two-fold. Firstly, we propose a model that unifies the dynamics of...
