15-104/VI - Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity

• Authors
  Lin Zhao, University of Amsterdam, the Netherlands; Sweder van Wijnbergen, University of Amsterdam, the Netherlands
• Publication date
  August 28, 2015

• Keywords
  stochastic volatility, Generalised Autoregressive Score modeling, incomplete markets, real options, utility indifference pricing, gas storage, capacity constraints
• JEL
  C61, C63, G12, G13, Q41