期刊名称：Birkbeck Working Papers in Economics and Finance / School of Economics, Mathematics and Statistics, Birkbeck College
印刷版ISSN：1745-8587
出版年度：2006
卷号：2006
出版社：London University
摘要：We employ the Schwartz and Smith (2000) model to explore the dynamics of the UK
gas markets. We discuss in detail the short-term and long-term market prices of
risk borne by the market players and how deviations from expected cyclical
storage affect the short-term market price of risk. Finally, we illustrate an
application of the model by pricing interruptible supply contracts that are
currently traded in the UK.
