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Gas swing options : introduction and pricing using Monte Carlo methods

Klimešová, Andrea; Václavík, Tomáš - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 24 (2016) 1, pp. 15-32

Persistent link: https://www.econbiz.de/10011456218

Pricing and risk of swing contracts in natural gas markets

Kohrs, Hendrik; Mühlichen, Hermann; Auer, Benjamin R.; … - In: Review of derivatives research 22 (2019) 1, pp. 77-167

Persistent link: https://www.econbiz.de/10012311666

Bayesian SVLEDEJ model for detecting jumps in logarithmic growth rates of one month forward gas contract prices

Kostrzewski, Maciej - In: Central European journal of economic modelling and … 8 (2016) 3, pp. 161-179

Persistent link: https://www.econbiz.de/10011634897

Evaluating the risk premium in the U.S.A. natural gas market: evidence from low-price regime

Aiube, Fernando Antônio Lucena; Samanez, Carlos P.; … - In: Applied economics 49 (2017) 9, pp. 860-871

Persistent link: https://www.econbiz.de/10011811070

Elasticities of supply for the US natural gas market

Ponce, Micaela; Neumann, Anne - 2014

In this paper we investigate natural gas producer's reactions to changes in market prices. We estimate price elasticities of aggregated supply in the most competitive market for natural gas: the United States. Using monthly time series data form 1987 to 2012 our analysis is based on an...

Persistent link: https://www.econbiz.de/10010339163

What drives drilling up and prices down? : a structural vector autoregressive model of the U.S. natural gas market

Winkler, Valentin - 2023

This study uses a structural vector autoregressive (SVAR) model to examine the relationships between the intensity of drilling (i.e. investment) for natural gas production, natural gas withdrawals, economic activity and natural gas prices in the United States. The results show that the reaction...

Persistent link: https://www.econbiz.de/10014233265