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- ncutler1990
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Valuing Physical Commodity Storage by using look-backs (Not NatGas)
Why do you guys dislike models that build on Spot processes? Im just finishing up a 2 factor model (Schwartz and Smith 2000) to forecast the FW curves one year out and simply define my optimal trading strategy (and respective pay off) as a simple optimization given my MC simulations - can you guys see anything obviously wrong with this method?
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- ncutler1990
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Valuing Physical Commodity Storage by using look-backs (Not NatGas)
my reasons for my preference (not dislike) are pretty much as I wrote down previously. It's definitely not the case that I think that what you're doing is wrong.