Full value and optimization of gas storages
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Dear Community
Does anyone of you know if the is an application for matlab, where I can calculate the full option value of a gas storage and optimize it through delta hedging?
Ameya Deoras developed an application for intrinsic and rolling intrinsic value:
hope someone can guide me in the right direction.
kind regards
Alexander
2 Comments
Walter Roberson
on 12 Jun 2020
It seems to me that this should have been merged with https://www.mathworks.com/matlabcentral/answers/546980-full-value-of-gas-storage ?
John D'Errico
on 12 Jun 2020
Moving the other question to a comment on this one:
Does any one of you know if the is an application calculating the full value of a gas storage and optimizing the storages based delta hedges calculated from a spot optimization like the one Ameya Deoras developed for intrinsic and rolling intrinsic value of gas storages?
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