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finanzmaster


Total Posts: 107
Joined: Feb 2011
 
Posted: 2017-06-05 08:16
Remarkably, many market players in energy market still cannot calculate the fair value of a gas storage. In particular, many of them rely on perfect foresight. We put online a simple but correct model from QuantLib. Confidence intervals are estimated as well.

https://letyourmoneygrow.com/2017/06/04/gas-storage-fair-price-online-calculator/

www.yetanotherquant.com - Knowledge rather than Hope: A Book for Retail Investors and Mathematical Finance Students
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