Gas storage hedging



Xavier WARIN

Gaz storage valuation has been an intense subject of research during the recent years. This problem is related to optimal control problems [17], [15] and more precisely to the class of optimal switching problem. On the energy market, the gaz storage management can be seen as a so called swing option [12] with some operational contraints : each day the manager of the gas storage has to decide either to inject gaz in the storage, buying it on the gas market, either to withdraw gas from the storage selling it on the market, either do nothing. Moreover it has to deal with some operational contraints : • compressor used to inject or withdraw gas may break down, • in order to preserve the storage cavity used due to thermomecanics contraints for example in a salt cavity, complete withdrawal can not be achieved at full speed, • the formation of hydrates has to be limited for safety reasons.


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