Prisfastsættelse af Gaslagre ved Least Squares Monte Carlo

Frederik Ørnsholt Regli & Rasmus Lind

Studenteropgave: Kandidatafhandlinger

Abstrakt

Our master thesis consists of two parts. In the first part we set up a spot price model on natural gas. Like in Müller et al. [2015] and Stoll and Wiebauer [2010] we show that oil prices and temperatures are important factors influencing the spot price. We extend their model by adding a statistically significant effect from gas storage levels. Low storage levels ceteris paribus leads to higher spot prices. In the second part we value a gas storage contract using the Least Squares Monte Carlo approach. We test how the valuation depends on the type of basis functions and various combinations of state variables. We assess the risk associated with a trading strategy purely on the spot price and show how starting the trading strategy in an intrinsic static hedge will diminish the risk.

UddannelserCand.merc.mat Erhvervsøkonomi og Matematik, (Kandidatuddannelse) Afsluttende afhandling
SprogDansk
Udgivelsesdato2015
Antal sider158