We propose a novel stochastic modeling framework for coal production and logistics using option pricing theory. The problem of valuing the inherent real optionality a coal producer has when mining and processing thermal coal is modelled as pricing spread options of three assets under the...

The uncertain volatility model has long ago attracted the attention of practitioners as it provides worst-case pricing scenario for the sell-side. The valuation of a financial derivative based on this model requires solving a fully non-linear PDE. One can rely on finite difference schemes only...

We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...