| |

15 Feb 09 Author: John Breslin, Les Clewlow, Calvin Kwok, Chris Strickland, 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 spot trading strategy which maximises the total expected cash flow from the storage facility using a trinomial tree based optimisation model.
The tree based optimisation allows a trading strategy which takes account of the future distribution of spot prices to be efficiently calculated.
|
|
 |
 |
 |