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Modeling of information flows in natural gas storage facility

Ranjbari, Leyla and Bahar, Arifah and Abdul Aziz, Zainal (2013) Modeling of information flows in natural gas storage facility. In: AIP Conference Proceedings.

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Official URL: http://aip.scitation.org/doi/abs/10.1063/1.4823965

Abstract

The paper considers the natural-gas storage valuation based on the information-based pricing framework of Brody-Hughston-Macrina (BHM). As opposed to many studies which the associated filtration is considered pre-specified, this work tries to construct the filtration in terms of the information provided to the market. The value of the storage is given by the sum of the discounted expectations of the cash flows under risk-neutral measure, conditional to the constructed filtration with the Brownian bridge noise term. In order to model the flow of information about the cash flows, we assume the existence of a fixed pricing kernel with liquid, homogenous and incomplete market without arbitrage.

Item Type:Conference or Workshop Item (Paper)
Uncontrolled Keywords:natural-gas storage valuation, information flows, natural gas storage facility
Subjects:Q Science > QA Mathematics
Divisions:Science
ID Code:51175
Deposited By: Haliza Zainal
Deposited On:27 Jan 2016 09:53
Last Modified:24 Aug 2017 15:09

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