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Gas price generation and Rolling Intrinsic hedging strategy - Milano Multiphysics

Gas price generation and Rolling Intrinsic hedging strategy

Gas price generation and Rolling Intrinsic hedging strategy

Gas price generation and Rolling Intrinsic hedging strategy 2415 1181 Milano Multiphysics

MMP has developed and implemented a stochastic algorithm to generate gas prices, based on the Ornstein-Uhlenbeck process.

Stochastic price generation is needed to feed the implementation of the Monthly Rolling Intrinsic hedging strategy of gas storage. The Rolling Intrinsic is the most adopted hedging strategy for monetization of flexibility value of a gas storage.

Gas price generation and Rolling Intrinsic strategy have been developed supporting Ital Gas Storage R&D.