Modeling Natgas Intramonth Spot (Daily or 'Cash') Price Movements

16 Pages Posted: 6 Jun 2016

See all articles by Ehud I. Ronn

Ehud I. Ronn

University of Texas at Austin - Department of Finance

Date Written: September 30, 2014

Abstract

This paper presents a specific modeling relationship between spot (day-ahead, or "cash" prices) and the prompt-month futures contract in the natural gas (natgas) market. Under the mean-reverting model considered here, the paper documents the seasonally dependent co-movement between spot and futures prices, presents both ex ante and ex post measures of the pricing bias and derives theoretical and empirical results for the valuation of intramonth natgas derivative structures.

Keywords: prompt-month futures contract, spot price movements, natural gas

Suggested Citation

Ronn, Ehud I., Modeling Natgas Intramonth Spot (Daily or 'Cash') Price Movements (September 30, 2014). Journal of Energy Markets, Vol. 7, No. 3, 2014, Available at SSRN: https://ssrn.com/abstract=2789640

Ehud I. Ronn (Contact Author)

University of Texas at Austin - Department of Finance ( email )

Graduate School of Business
Austin, TX 78712
United States
512-471-5853 (Phone)
512-471-5073 (Fax)

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