swing gas contract

hesabu · May 7th, 2002, 3:25 pm

Any one out there who knows how to price a gas swing contract. I do not have a clue. I have read some articles but I need help.

Aaron · May 7th, 2002, 3:42 pm

Pricing swing contracts depends on your relationship with the customer (or depends on yourself if you are the customer). You can derive a maximum price by treating the contract as an option. But typically these contracts are sold cheaper based on statistical modeling of the customer's takedowns.

Ab · May 9th, 2002, 7:46 am

<< how to price a gas swing contract >>I read an article by Clewlow/Strickland/Kaminski on the "Valuation of swing contracts", but still couldn't implement it on a spread-sheet.Looking forward to seeing some practical responses to hesabu's question.Thanks,Ab

A · May 9th, 2002, 1:24 pm

Read "Getting into the swing" Dragana Pilipovic, John Wengler, Energy & Power Risk Management, Vol2/No 10 March 1998.

Ab · May 9th, 2002, 2:16 pm

>>Read "Getting into the swing" Dragana Pilipovic, John Wengler, Energy & Power Risk Management, Vol2/No 10 March 1998. Thks A for the reference.Any chance to get hold of this article? google couldn't find one for download!Ab

hesabu · May 9th, 2002, 11:49 pm

Thanks for the reference. I look for the article

A · May 10th, 2002, 6:04 pm

Unfortunately, I only have a hard copy of the Pilipovic article. I tried but couldn't find the PDF.

Steilermeier · April 23rd, 2014, 2:52 pm

Hi guys,I also like to know more about gas swing options. Any new research or nice references?CheersSteilermeier