Pricing Of Gas Swing Options Using Monte Carlo Methods

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Pricing of Gas Swing Options Using Monte Carlo Methods

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Author : Andrea Klimešová
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (837 download)

Book Synopsis Pricing of Gas Swing Options Using Monte Carlo Methods by : Andrea Klimešová

Download or read book Pricing of Gas Swing Options Using Monte Carlo Methods written by Andrea Klimešová and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Motivated by the changing nature of the natural gas industry in the European Union driven by the liberalization process, we focus on pricing of gas swing options. These options are embedded in typical gas sales agreements in the form of offtake flexibility concerning volume and time. The gas swing option is actually a set of several American puts on a spread between prices of two or more energy commodities. This fact together with the fact that the energy markets are fundamentally different from traditional financial security markets is important for our choice of valuation technique. Due to the specific features of the energy markets, the existing analytic approximations for spread option pricing are hardly applicable to our framework. That is why we employ Monte Carlo methods to model the spot price dynamics of the underlying commodities. The price of an arbitrarily chosen gas swing option is then computed in accordance with the concept of risk-neutral expectations. Finally, our result is compared with the real payoff from the option realized at time of the option execution and the maximum ex-post payoff the buyer could generate in case he knew the future, discounting to the original time of the option pricing. -- energy markets ; gas sales agreement ; gas swing option ; Monte Carlo simulations ; spread option pricing

Pricing of Swing Options

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Author : Kai-Siong Leow
Publisher :
ISBN 13 :
Total Pages : 110 pages
Book Rating : 4.:/5 (859 download)

Book Synopsis Pricing of Swing Options by : Kai-Siong Leow

Download or read book Pricing of Swing Options written by Kai-Siong Leow and published by . This book was released on 2013 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study the problem of pricing swing options, a class of multiple early exercise options that are traded in energy market, particularly in the electricity and natural gas markets. These contracts permit the option holder to periodically exercise the right to trade a variable amount of energy with a counterparty, subject to local volumetric constraints. In addition, the total amount of energy traded from settlement to expiration with the counterparty is restricted by a global volumetric constraint. Violation of this global volumetric constraint is allowed but would lead to penalty settled at expiration. The pricing problem is formulated as a stochastic optimal control problem in discrete time and state space. We present a stochastic dynamic programming algorithm which is based on piecewise linear concave approximation of value functions. This algorithm yields the value of the swing option under the assumption that the optimal exercise policy is applied by the option holder. We present a proof of an almost sure convergence that the algorithm generates the optimal exercise strategy as the number of iterations approaches to infinity. Finally, we provide a numerical example for pricing a natural gas swing call option.

Option Pricing Using Monte Carlo Simulation

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Author : Padriac Walsh
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (264 download)

Book Synopsis Option Pricing Using Monte Carlo Simulation by : Padriac Walsh

Download or read book Option Pricing Using Monte Carlo Simulation written by Padriac Walsh and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Monte Carlo Valuation of Energy Options

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Author : Wen-Yu Liao
Publisher :
ISBN 13 :
Total Pages : 326 pages
Book Rating : 4.:/5 (34 download)

Book Synopsis Monte Carlo Valuation of Energy Options by : Wen-Yu Liao

Download or read book Monte Carlo Valuation of Energy Options written by Wen-Yu Liao and published by . This book was released on 2008 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Monte Carlo Method for Pricing American Options

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Author : Diego Garcia
Publisher :
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.:/5 (34 download)

Book Synopsis A Monte Carlo Method for Pricing American Options by : Diego Garcia

Download or read book A Monte Carlo Method for Pricing American Options written by Diego Garcia and published by . This book was released on 1999 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Option Pricing Using Monte Carlo Methods

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Author : Junxiong Wang
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (841 download)

Book Synopsis Option Pricing Using Monte Carlo Methods by : Junxiong Wang

Download or read book Option Pricing Using Monte Carlo Methods written by Junxiong Wang and published by . This book was released on 2011 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This project is devoted primarily to the use of Monte Carlo methods to simulate stock prices in order to price European call options using control variates, and to the use of the binominal model to price American put options. At the end, we can use the information to form a portfolio position using an Interactive Brokers paper trading account. This project was done as a part of the masters capstone course Math 573: Computational Methods of Financial Mathematics.

Application of the Least Squares Monte Carlo Technique to the Valuation of Gas Storage Assets and Swing Options

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Author : Jim Redington
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (115 download)

Book Synopsis Application of the Least Squares Monte Carlo Technique to the Valuation of Gas Storage Assets and Swing Options by : Jim Redington

Download or read book Application of the Least Squares Monte Carlo Technique to the Valuation of Gas Storage Assets and Swing Options written by Jim Redington and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Pricing American Options Using Monte Carlo Simulation

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Author : Victoria Zhanna Averbukh
Publisher :
ISBN 13 :
Total Pages : 138 pages
Book Rating : 4.E/5 ( download)

Book Synopsis Pricing American Options Using Monte Carlo Simulation by : Victoria Zhanna Averbukh

Download or read book Pricing American Options Using Monte Carlo Simulation written by Victoria Zhanna Averbukh and published by . This book was released on 1997 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Operating a Swing Option on Today's Gas Markets

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Author : Marc Hanfeld
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (958 download)

Book Synopsis Operating a Swing Option on Today's Gas Markets by : Marc Hanfeld

Download or read book Operating a Swing Option on Today's Gas Markets written by Marc Hanfeld and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate, if it pays off for a company to invest into complex swing option algorithms. We first introduce least squares Monte Carlo as a complex valuation algorithm and explain in detail how it works. Using a simulation study and two backtest scenarios we compare the output of this method with a simple myopic approach, and evaluate the results also from a business point of view. We find that myopic operation performs fairly well, but given a certain contract size and a certain contract flexibility, LSMC clearly prevails.

Monte Carlo Methods for American Option Pricing

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Author : Alberto Barola
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783659352607
Total Pages : 160 pages
Book Rating : 4.3/5 (526 download)

Book Synopsis Monte Carlo Methods for American Option Pricing by : Alberto Barola

Download or read book Monte Carlo Methods for American Option Pricing written by Alberto Barola and published by LAP Lambert Academic Publishing. This book was released on 2014-05-21 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Monte Carlo approach has proved to be a valuable and flexible computational tool in modern finance. A number of Monte Carlo simulation-based methods have been developed within the past years to address the American option pricing problem. The aim of this book is to present and analyze three famous simulation algorithms for pricing American style derivatives: the stochastic tree; the stochastic mesh and the least squares method (LSM). The author first presents the mathematical descriptions underlying these numerical methods. Then the selected algorithms are tested on a common set of problems in order to assess the strengths and weaknesses of each approach as a function of the problem characteristics. The results are compared and discussed on the basis of estimates precision and computation time. Overall the simulation framework seems to work considerably well in valuing American style derivative securities. When multi-dimensional problems are considered, simulation based methods seem to be the best solution to estimate prices since the general numerical procedures of finite difference and binomial trees become impractical in these specific situations.

Pricing European Options Using Monte Carlo Methods

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Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (931 download)

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Download or read book Pricing European Options Using Monte Carlo Methods written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Monte Carlo Simulation and Option Pricing

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Author : Kalina P. Natcheva
Publisher :
ISBN 13 :
Total Pages : 120 pages
Book Rating : 4.:/5 (17 download)

Book Synopsis Monte Carlo Simulation and Option Pricing by : Kalina P. Natcheva

Download or read book Monte Carlo Simulation and Option Pricing written by Kalina P. Natcheva and published by . This book was released on 2002 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Commodities

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Author : M. A. H. Dempster
Publisher : CRC Press
ISBN 13 : 1000784045
Total Pages : 864 pages
Book Rating : 4.0/5 (7 download)

Book Synopsis Commodities by : M. A. H. Dempster

Download or read book Commodities written by M. A. H. Dempster and published by CRC Press. This book was released on 2022-12-09 with total page 864 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development. Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing, Second Edition covers the fundamental theory of and derivatives pricing for major commodity markets, as well as the interaction between commodity prices, the real economy, and other financial markets. After a thoroughly updated and extensive theoretical and practical introduction, this new edition of the book is divided into five parts – the fifth of which is entirely new material covering cutting-edge developments. Oil Products considers the structural changes in the demand and supply for hedging services that are increasingly determining the price of oil Other Commodities examines markets related to agricultural commodities, including natural gas, wine, soybeans, corn, gold, silver, copper, and other metals Commodity Prices and Financial Markets investigates the contemporary aspects of the financialization of commodities, including stocks, bonds, futures, currency markets, index products, and exchange traded funds Electricity Markets supplies an overview of the current and future modelling of electricity markets Contemporary Topics discuss rough volatility, order book trading, cryptocurrencies, text mining for price dynamics and flash crashes

The Price is Right

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Author : Kristen Anne Ehringer
Publisher :
ISBN 13 :
Total Pages : 84 pages
Book Rating : 4.:/5 (247 download)

Book Synopsis The Price is Right by : Kristen Anne Ehringer

Download or read book The Price is Right written by Kristen Anne Ehringer and published by . This book was released on 2008 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Optimization Methods for Gas and Power Markets

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Author : Enrico Edoli
Publisher : Springer
ISBN 13 : 1137412976
Total Pages : 210 pages
Book Rating : 4.1/5 (374 download)

Book Synopsis Optimization Methods for Gas and Power Markets by : Enrico Edoli

Download or read book Optimization Methods for Gas and Power Markets written by Enrico Edoli and published by Springer. This book was released on 2016-04-30 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: As power and gas markets are becoming more and more mature and globally competitive, the importance of reaching maximum potential economic efficiency is fundamental in all the sectors of the value chain, from investments selection to asset optimization, trading and sales. Optimization techniques can be used in many different fields of the energy industry, in order to reduce production and financial costs, increase sales revenues and mitigate all kinds of risks potentially affecting the economic margin. For this reason the industry has now focused its attention on the general concept of optimization and to the different techniques (mainly mathematical techniques) to reach it. Optimization Methods for Gas and Power Markets presents both theoretical elements and practical examples for solving energy optimization issues in gas and power markets. Starting with the theoretical framework and the basic business and economics of power and gas optimization, it quickly moves on to review the mathematical optimization problems inherent to the industry, and their solutions – all supported with examples from the energy sector. Coverage ranges from very long-term (and capital intensive) optimization problems such as investment valuation/diversification to asset (gas and power) optimization/hedging problems, and pure trading decisions. This book first presents the readers with various examples of optimization problems arising in power and gas markets, then deals with general optimization problems and describes the mathematical tools useful for their solution. The remainder of the book is dedicated to presenting a number of key business cases which apply the proposed techniques to concrete market problems. Topics include static asset optimization, real option evaluation, dynamic optimization of structured products like swing, virtual storage or virtual power plant contracts and optimal trading in intra-day power markets. As the book progresses, so too does the level of mathematical complexity, providing readers with an appreciation of the growing sophistication of even common problems in current market practice. Optimization Methods for Gas and Power Markets provides a valuable quantitative guide to the technicalities of optimization methodologies in gas and power markets; it is essential reading for practitioners in the energy industry and financial sector who work in trading, quantitative analysis and energy risk modeling.

Pricing Swing Options within Stochastic Volatility Model by Least Square Monte Carlo

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Author :
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (933 download)

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Download or read book Pricing Swing Options within Stochastic Volatility Model by Least Square Monte Carlo written by and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Monte Carlo Methods for Pricing and Hedging American Options

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Author : Grigorij N. Milʹstejn
Publisher :
ISBN 13 :
Total Pages : 19 pages
Book Rating : 4.:/5 (766 download)

Book Synopsis Monte Carlo Methods for Pricing and Hedging American Options by : Grigorij N. Milʹstejn

Download or read book Monte Carlo Methods for Pricing and Hedging American Options written by Grigorij N. Milʹstejn and published by . This book was released on 2003 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: