Strategisk analyse og værdiansættelse af gaslagring i Danmark

Jacob Mebus Meyer

Student thesis: Diploma thesis

Abstract

Energy markets in Europe increasingly rely on gas storage to maintain and improve their security of supply and while the Danish government plans to phase out coal, oil and gas in 2050, the world continues to increase production and build more capacity for gas. The value of gas power plants and gas storages has been declining recent years and the main objective is to investigate the value of gas storage and what the reason behind this trend is. Supplementary objectives have been proposed and through an analysis of the market and valuation techniques for gas storage these question will be answered. Often papers suggest valuing gas storage by simulating a gas price and compute the optimal control by dynamic stochastic programming. However the usual approach when simulating gas prices relies only on historic data which is per definition outdated and the optimal value is useful for accounting and risk management, but difficult to utilize in daily operation. The valuation will begin with simulating a gas price by historic data and a strategic analysis. Next a static programming approach is assumed for the gas storage control. The real options approach found in optimal valuation techniques will be explained while the real options approach from static control is used to illustrate the connection between the financial and physical assets. The gas storage control will lead to a cash flow that discounted gives the value and a finally a sensitivity analysis will investigate the effect on the value of the model input parameters.

EducationsGraduate Diploma in Finance, (Diploma Programme) Final Thesis
LanguageDanish
Publication date2013
Number of pages79