Delft University of Technology
Jonker, Hendrik (author).
Valuation of natural gas storage contracts with the COS method.
Degree: 2019, Delft University of Technology
Since the liberalization of the energy markets, the storage of energy is decoupled from the production and sales. In Western-Europe the storage of natural gas becomes more and more important because production fields get depleted and governments force companies to slow down their production because of tremors in the ground. Natural gas needs to be imported from countries that are far away, like for example Russia. To provide in security of supply and to ensure there is enough natural gas when the demand is high, it is important to store natural gas nearby. To determine the value of a gas storage facility in a reliable way we need an efficient market. For an efficient market is needed that the financial instruments, like futures contracts and options on natural gas, are liquidly traded on the exchange. If this condition is met, we are able to determine the value of storage according to market prices. The COS method was already presented as an efficient method for pricing a broad spectrum of financial derivatives and can be used in combination with all processes for the underlying for which a characteristic function is known. For processes whose characteristic function is not available, the adjoint expansion method can be used to obtain an approximation of the characteristic function. In this work the COS method will be presented as an efficient method for determining the value of gas storage contracts which is competitive with existing valuation methods for natural gas storage contracts.
Advisors/Committee Members: Oosterlee, Kees (mentor), Borovykh, Anastasia (mentor), Dubbeldam, Johan (graduation committee), Delft University of Technology (degree granting institution).
Subjects/Keywords: COS method; Gas storage valuation; Adjoint expansion
to Zotero / EndNote / Reference
APA (6th Edition):
Jonker, H. (. (2019). Valuation of natural gas storage contracts with the COS method. (Masters Thesis). Delft University of Technology. Retrieved from http://resolver.tudelft.nl/uuid:2a29f2c2-20c1-4a6e-8a7e-bb05662fd844
Chicago Manual of Style (16th Edition):
Jonker, Hendrik (author). “Valuation of natural gas storage contracts with the COS method.” 2019. Masters Thesis, Delft University of Technology. Accessed November 30, 2020.
MLA Handbook (7th Edition):
Jonker, Hendrik (author). “Valuation of natural gas storage contracts with the COS method.” 2019. Web. 30 Nov 2020.
Jonker H(. Valuation of natural gas storage contracts with the COS method. [Internet] [Masters thesis]. Delft University of Technology; 2019. [cited 2020 Nov 30].
Available from: http://resolver.tudelft.nl/uuid:2a29f2c2-20c1-4a6e-8a7e-bb05662fd844.
Council of Science Editors:
Jonker H(. Valuation of natural gas storage contracts with the COS method. [Masters Thesis]. Delft University of Technology; 2019. Available from: http://resolver.tudelft.nl/uuid:2a29f2c2-20c1-4a6e-8a7e-bb05662fd844