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WTM also offers a suite of supporting natural gas models to complement its innovative storage model. The suite includes . . . |
- Swing option model. Built on WTM’s two-factor tree model that works so well for storage modeling,
the swing model handles any combination of fixed and floating strikes along with must-take exercises.
The model’s output not only includes values but also cash-price thresholds for optimal exercising and
results for delta-hedging.
- Transport / Spread option model. This model is a standard model for valuing firm transport, spark
spread options, and basis options.
- Calendar spread option model. This model is derived from the WTM two-factor price process and is mainly
used to value options on parks and loans.
- Standard NYMEX option model. Such a model is used for valuing any option on a futures contract.
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Other Research 