European market integration for gas? Volume flexibility and political risk

Asche, Frank; Osmundsen, Petter; Tveterås, Ragnar

doi:10.1016/s0140-9883(02)00003-8

Cited by 105 publications

(55 citation statements)

References 17 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…These results reveal that there is regional gas market integration in United States as the null hypothesis of no co-integration between Henry Hub spot prices and pipeline gas import prices is rejected with 1% significance level supporting the results of De Vany and Walls (1993), Serletis and Herbert (1999) and Siliverstovs et al (2005). Moreover, there is a regional market integration in Europe, as the null hypothesis of no co-integration between LNG Europe and Pipe Europe is rejected with 1% significance level supporting the results of Asche et al (2011Asche et al ( , 2002, Siliverstovs et al (2005) and Renour-Maissant (2012). It is found that there is a strong evidence of co-integration between the price of Brent oil and each of the European gas prices and between the price of WTI oil and each of the European gas prices at 1% significance level.…”

Section: Findings and Discussionsupporting

confidence: 66%

The dynamic interactions of world natural gas markets

Kapusuzoğlu¹,

Liang²,

Ulusoy³

2016

Pressacademia

View full text Add to dashboard Cite

The aim of this study is to analyse the short and long-term interactions between the natural gas markets in the context of Europe, Japan and the US that are the main constituents of natural gas consumption in the world and between the natural gas and oil markets. Within the framework of this study co-integration test is performed and the variable groups that have long-term relationships with each other are presented. Finally, the pairwise Granger causality test is performed in order to examine the short-term causality relationships and the results of uni-directional, bi-directional and non-casual relationships are found.

show abstract

Section: Findings and Discussionsupporting

confidence: 66%

The dynamic interactions of world natural gas markets

Kapusuzoğlu¹,

Liang²,

Ulusoy³

2016

Pressacademia

View full text Add to dashboard Cite

show abstract

“…Although many studies have investigated the integration of natural gas markets among different gas markets (Seletis and Herbert, 1997;Asche et al, 2002), most of these studies are limited to the regional level, such as within North America or Europe. To analyze market integration among international gas markets, Siliverstovs et al (2005) tested the long-run market relationships among the North American, European, and Japanese natural gas markets.…”

Section: Introductionmentioning

confidence: 99%

The U.S. shale gas revolution and its effect on international gas markets

Aruga

2016

Journal of Unconventional Oil and Gas Resources

View full text Add to dashboard Cite

This paper investigated whether the effect of the shale gas revolution on the U.S. gas market is still a domestic phenomenon or this revolution is influencing the global natural gas market. We used the Bai-Perron test to identify the break date related to the shale gas revolution and tested the price linkages among the U.S., European and Japanese gas markets for the periods before and after this break date. The result indicated that the U.S. gas market had a price linkage with the international market for the period before the revolution affected the U.S. gas production, but this price linkage disappeared for the period after the revolution. This result implied that the U.S. gas market became independent after the shale gas revolution occurred and that the price linkage between the U.S. and international gas market became weaker after the shale gas revolution occurred.

show abstract

“…We choose the swing option that consists of fifty-five spread options with parameters summarised in the following table. [Asche 2002a and2002b] for the detailed description of the typical long-term Take-or-Pay contract and its reference period.…”

Section: Application To An Arbitrarily Chosen Gas Sales Agreementmentioning

confidence: 99%

“…The value of his savings realised by the cheaper purchase (compared to the purchase under the GSA) depends on the amount of a spread between these two prices. Since contractual prices under typical gas sales agreements have been linked to the price changes of competing fuels from natural gas, as described in [Asche et al, 2002a;2002b], we actually investigate the option whose value is derived from a spread between prices of natural gas and its competing fuels. Such a characteristic is typical for so-called "spread options" falling into a group of "correlation options".…”

mentioning

confidence: 99%

Gas Swing Options: Introduction and Pricing using Monte Carlo Methods

Klimešová¹,

Václavík²

2016

AOP

View full text Add to dashboard Cite

Motivated by the changing nature of the natural gas industry in the European Union, driven by the liberalisation process, we focus on the introduction and pricing of gas swing options. These options are embedded in typical gas sales agreements in the form of offtake flexibility concerning volume and time. The gas swing option is actually a set of several American puts on a spread between prices of two or more energy commodities. This fact, together with the fact that the energy markets are fundamentally different from traditional financial security markets, is important for our choice of valuation technique. Due to the specific features of the energy markets, the existing analytic approximations for spread option pricing are hardly applicable to our framework. That is why we employ Monte Carlo methods to model the spot price dynamics of the underlying commodities. The price of an arbitrarily chosen gas swing option is then computed in accordance with the concept of risk-neutral expectations. Finally, our result is compared with the real payoff from the option realised at the time of the option execution and the maximum ex-post payoff that the buyer could generate in case he knew the future, discounted to the original time of the option pricing.

show abstract

European market integration for gas? Volume flexibility and political risk

Cited by 105 publications

References 17 publications

The dynamic interactions of world natural gas markets

The dynamic interactions of world natural gas markets

The U.S. shale gas revolution and its effect on international gas markets

Gas Swing Options: Introduction and Pricing using Monte Carlo Methods

Contact Info

Product

Resources

About