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Erschienen in:
2016 | OriginalPaper | Buchkapitel
Storage Contracts
verfasst von : Enrico Edoli, Stefano Fiorenzani, Tiziano Vargiolu
Erschienen in: Optimization Methods for Gas and Power Markets
Verlag: Palgrave Macmillan UK
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A storage contract replicates the payoff of a physical storage asset of a commodity (usually natural gas), where the contract holder has the possibility of pumping the commodity in or out of a given reservoir, and this commodity is typically bought or sold (depending on the actions above) at market price. The contract has a fixed maturity T (usually one year later), at which a penalty Ф can be possibly paid depending on the reservoir level.