Gas Storage Valuation: Price Modelling v. Optimization Methods

Bjerksund, Petter; Stensland, Gunnar; Vagstad, Frank
January 2011
Energy Journal;2011, Vol. 32 Issue 1, p203
Academic Journal
In the literature, one approach is to analyse gas storage within a simple one-factor price dynamics framework that is solved to optimality. We follow an alternative approach, where the market is represented by a forward curve with daily granularity, the price uncertainty is represented by six factors, and where we impose a simple and intuitive storage strategy. Based on UK natural gas market price data, we obtain the gas storage value using our approach, and compare with results from a one-factor model as well as with perfect foresight. We find that our approach captures much more of the true flexibility value than the one-factor model


Related Articles

  • Table 9. Underground Natural Gas Storage - All Operators, 1995-2001.  // Natural Gas Monthly;Aug2001, p17 

    Presents a chart depicting the underground natural gas storage in the United States in the years 1995-2001. Volume of working gas at the end of period; Percentage rate of changes in working gas from the same period; Net withdrawals of the gas.

  • Table 14. Activities of Underground Natural Gas Storage Operators, by State, June 2001.  // Natural Gas Monthly;Aug2001, p26 

    Presents a chart depicting the activities of underground natural gas storage operators in the United States in June 2001. Total storage capacity in Alabama; Volume of natural gas in underground storage at the end of the reporting period; Withdrawal of natural gas in Arkansas.

  • Table 9. Underground Natural Gas Storage - All Operators, 1996-2002.  // Natural Gas Monthly;Sep2002, p17 

    Presents statistics on underground natural gas storage in billion cubic feet by all operators in the United States from 1996-2002. Base gas in underground storage at the end of 2000; Percentage change in working gas in 2001; Storage activity recorded from 1996-1999.

  • Preface.  // Natural Gas Monthly;May2011, preceding p1 

    A preface to the periodical "Natural Gas Monthly" is presented.

  • Highlights.  // Natural Gas Monthly;Feb2000, p1 

    Presents data estimates in the natural gas industry in the United States as of February 2000. Includes statistics on net storage withdrawals; Daily rate of end-use consumption of natural gas; Account on the cumulative average wellhead price.

  • Natural gas storage. Investor's Business Daily // Investors Business Daily;12/18/2015, pA02 

    The article reports on the decline in natural gas storage in the week that ended on December 11, 2015.

  • A Dynamic Simulation of Market Power in the Liberalised European Natural Gas Market. Lise, Wietze; Hobbs, Benjamin F. // Energy Journal;2009 Special Issue, p119 

    Recent increases in the world price of oil have led to higher gas prices in Europe, possibly leading to greater opportunities for exercising market power. The effect of different gas producer strategies upon price levels in the liberalised European gas market over the period 2005-2030 is...

  • Appendices.  // Natural Gas Monthly;Mar2011, p85 

    Appendices are presented of the annual and monthly data of natural gas production and consumption, natural gas storage, and average natural gas price of deliveries to consumers in the U.S.

  • Highlights.  // Natural Gas Monthly; 

    An introduction is presented in which the editor discusses various reports within the issue including the weekly report of natural gas storage and the weekly natural gas update.


Read the Article


Sign out of this library

Other Topics