Aplikace metod oceňování derivátů na zemní plyn

Abstract

The aim of my work is an application of natural gas derivatives pricing methods. The pricing will be implement through european call and put option, where is as underlying asset Henry Hub Natural Gas Futures, which is trade on NYMEX. In the first chapter, the general basics of US natural gas market are explained. There is also a piece of information about New York Mercantile Exchange. The types of derivatives of natural gas are described in details. In the second chapter there is a description of stochastic process and a specification of pricing models. In the third chapter you can find application of pricing methods on futures contract according to simulation of inverse transformation and Black model.