Modeling Natgas Intramonth Spot (Daily or 'Cash') Price Movements
16 Pages Posted: 6 Jun 2016
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: Suggested Citation
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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Modeling Natgas Intramonth Spot (Daily or 'Cash') Price Movements
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