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Table Of Contents

INTRODUCTION
1. GAS SALES CONTRACTS
1.1. Basic definition
1.2. Specific features and concepts of gas contracts
1.2.1. Volume, capacity and tolerance
1.2.2. Functioning of the contract1
1.3. Breach of contract
1.3.1. Buyer’s breach of contract
1.3.2. Seller’s breach of contract
1.4. Gas pricing
1.4.1. General gas price formula
1.5. The embedded option
2.2. The position of the seller
2.3. Option evaluation
2.3.1. Approximation of seller’s costs for not offtaken
2.4. Costs implementation into the gas sale contract
2.4.1. Take-or-pay provision
2.4.2. Surcharge
3.1. The emergence of European gas trading
3.2. The option’s characteristics
3.2.1. Definition of the option
3.2.2. Number of the options
3.2.3. Type of the option
3.2.4. General characteristics
3.2.5. The option’s payoff
3.3. Factors influencing the option’s exercising
3.3.1. The buyers possibilities to exercise the option
3.3.1.1. The buyer’s offtaking characteristics
3.3.1.2. The daily unused quantity
3.3.1.3. The time of the option exercising
3.3.2. The transit of natural gas
3.3.2.1. The shipping costs
3.3.2.2. The free capacity in the pipeline system
3.4. Optimal time of the option’s exercising
3.5. Option evaluation
3.5.1. Spread option definition
3.5.2. Modeling of spread
3.5.2.1. One-factor or two-factor approach
3.5.2.2. Lognormal distribution versus normal distribution
3.5.2.3. Price process: random walk or mean-reversion
3.5.3. Spread option evaluation formulas
3.5.3.1. One - factor models
3.5.3.2. Two - factors models
3.5.4. The evaluation of the embedded option
CONCLUSION
REFERENCES
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617 David Zlamal[1]

617 David Zlamal[1]

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Published by: Ginetta1 on Sep 09, 2010
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10/31/2011

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