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Conference Proceedings

Gas Storage Hedging

Springer Proceedings in Mathematics (2012) 12 421-445
DOI: 10.1007/978-3-642-25746-9_14
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Abstract

Gas storage hedging based on conditional delta is presented in this paper. Algorithms to calculate hedging strategies are detailed. Some numerical results for fast and seasonal storages show the efficiency of the method compared with finite difference. © Springer-Verlag Berlin Heidelberg 2012.

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Warin, X. (2012). Gas Storage Hedging. In Springer Proceedings in Mathematics (Vol. 12, pp. 421–445). https://doi.org/10.1007/978-3-642-25746-9_14

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