| |
15 Jan 09
Author: John Breslin, Les Clewlow, Tobias Elbert, Calvin Kwok, Chris Strickland and Daniel Van der Zee
If you have not already logged in, you will be asked to do so prior to downloading.
In this article we describe a storage valuation method known as the rolling intrinsic strategy, which extends the intrinsic strategy by allowing for regular re-optimisation and rebalancing of the portfolio. This strategy is relatively straightforward to evaluate, with the only additional complication arising from the need to compute the costs of re-adjusting the portfolio.
The rolling intrinsic method is a risk limiting strategy; the strategy never gives a payoff which is lower than the original intrinsic value. These features make the rolling intrinsic methodology well-suited for giving a realistic and prudent estimate of the value of a storage facility.
|
|
 |
|
|
News
