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Modeling of information flows in natural gas storage facility

The paper considers the natural-gas storage valuation based on the information-based pricing framework of Brody-Hughston-Macrina (BHM). As opposed to many studies which the associated filtration is considered pre-specified, this work tries to construct the filtration in terms of the information prov...

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Main Authors: Ranjbari, Leyla, Bahar, Arifah, Abdul Aziz, Zainal
Format: Conference or Workshop Item
Published: 2013
Subjects:
QA Mathematics
Online Access:http://eprints.utm.my/id/eprint/51175/
http://aip.scitation.org/doi/abs/10.1063/1.4823965
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spelling my.utm.511752017-08-24T07:09:00Z http://eprints.utm.my/id/eprint/51175/ Modeling of information flows in natural gas storage facility Ranjbari, Leyla Bahar, Arifah Abdul Aziz, Zainal QA Mathematics The paper considers the natural-gas storage valuation based on the information-based pricing framework of Brody-Hughston-Macrina (BHM). As opposed to many studies which the associated filtration is considered pre-specified, this work tries to construct the filtration in terms of the information provided to the market. The value of the storage is given by the sum of the discounted expectations of the cash flows under risk-neutral measure, conditional to the constructed filtration with the Brownian bridge noise term. In order to model the flow of information about the cash flows, we assume the existence of a fixed pricing kernel with liquid, homogenous and incomplete market without arbitrage. 2013 Conference or Workshop Item PeerReviewed Ranjbari, Leyla and Bahar, Arifah and Abdul Aziz, Zainal (2013) Modeling of information flows in natural gas storage facility. In: AIP Conference Proceedings. http://aip.scitation.org/doi/abs/10.1063/1.4823965
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
topic QA Mathematics
spellingShingle QA Mathematics
Ranjbari, Leyla
Bahar, Arifah
Abdul Aziz, Zainal
Modeling of information flows in natural gas storage facility
description The paper considers the natural-gas storage valuation based on the information-based pricing framework of Brody-Hughston-Macrina (BHM). As opposed to many studies which the associated filtration is considered pre-specified, this work tries to construct the filtration in terms of the information provided to the market. The value of the storage is given by the sum of the discounted expectations of the cash flows under risk-neutral measure, conditional to the constructed filtration with the Brownian bridge noise term. In order to model the flow of information about the cash flows, we assume the existence of a fixed pricing kernel with liquid, homogenous and incomplete market without arbitrage.
format Conference or Workshop Item
author Ranjbari, Leyla
Bahar, Arifah
Abdul Aziz, Zainal
author_facet Ranjbari, Leyla
Bahar, Arifah
Abdul Aziz, Zainal
author_sort Ranjbari, Leyla
title Modeling of information flows in natural gas storage facility
title_short Modeling of information flows in natural gas storage facility
title_full Modeling of information flows in natural gas storage facility
title_fullStr Modeling of information flows in natural gas storage facility
title_full_unstemmed Modeling of information flows in natural gas storage facility
title_sort modeling of information flows in natural gas storage facility
publishDate 2013
url http://eprints.utm.my/id/eprint/51175/
http://aip.scitation.org/doi/abs/10.1063/1.4823965
_version_ 1643652961820213248
score 13.211869

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