A radial basis function approach to gas storage valuation
A radial basis function approach to gas storage valuation
复制标题
储气库估价的径向基函数方法
DOI：
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发表时间：
2013
期刊：
影响因子：
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通讯作者：
Alexander Boogert
中科院分区：
文献类型：
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作者：
Denis Mazières;Alexander Boogert
我们介绍了两种新的回归方法（径向基函数和径向基函数张量）的最小二乘蒙特卡罗（LSMC）方法的背景下，天然气存储的现场方法的估值。此外，我们提出了一种新的方法，结合了两个现有的现货方法：它结合了离散化的体积与多元回归。我们的数值例子表明，这些新的估值方法匹配，并经常设法超过我们的基准值。我们还发现，估值suers的情况下，不充足的点被放置在体积边界附近。我们希望我们的新方法结合两个新的回归方法将证明贝内解决估值问题的几个价格因素和数量水平在未来。
We introduce two new regression methods (Radial Basis Function and Tensor of Radial Basis Function) to the Least-Squares Monte Carlo (LSMC) method in the context of gas storage valuation with the spot approach. Further, we propose a new methodology which combines two existing ones in the spot approach: it combines discretisation of volume with multivariate regressions. Our numerical examples show that these new valuation methods match and frequently manage to exceed the value of our benchmark. We also nd that the valuation su ers in the case where insu cient points are placed near the volume boundaries. We expect that our new methodology in combination with the two new regression methods will prove bene cial to solve valuation problems with several price factors and volume levels in the future.