The Evaluation of Gas Sales Agreements with Indexation using GPUs

A typical gas sales agreement is an agreement between a supplier and a purchaser for the delivery of variable daily quantities of gas between specified minimum and maximum daily limits. The main constraint of such an... [ view full abstract ]

A typical gas sales agreement is an agreement between a supplier and a purchaser for the delivery of variable daily quantities of gas between specified minimum and maximum daily limits. The main constraint of such an agreement that makes them difficult to value is that the strike price is set based on the indexation principle under which the strike price is called the index. We design an algorithm to price such swing contracts and find optimal daily decisions by using GPUs. With the help of a concrete numerical example, we also provide detailed analysis.