Modeling of information flows in natural gas storage facility

Leyla Ranjbari, Arifah Bahar, Zainal Abdul Aziz

Research output: Contribution to journalConference articlepeer-review


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.
Original languageEnglish
Pages (from-to)500-504
Number of pages5
JournalAIP Conference Proceedings
Issue number1
Publication statusPublished - 27 Sept 2013

Cite this