Gas storage valuation under multifactor Lévy processes

A practical1The author's views are his own anddo not necessarily reflect those of Gazprom Marketing & Trading Limited or any of itsaffiliates. problem for energy companies is instituting a consistent framework across its supply and trading activities to deliver on all-important P&L and...

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Bibliographic Details

Published in:	Journal of banking & finance Vol. 95; pp. 167 - 184
Main Authors:	Cummins, Mark, Kiely, Greg, Murphy, Bernard
Format:	Journal Article
Language:	English
Published:	Elsevier B.V 01-10-2018
Subjects:	Fast fourier transform Gas storage valuation Implied moments calibration Mean reverting variance gamma processes Multifactor Lévy processes Gas storage valuation Fast fourier transform Mean reverting variance gamma processes Implied moments calibration Multifactor Lévy processes
Online Access:	Get full text
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