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Theoretical Gas Forward Pricing

HardFinance & Accounting00:00
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Your question is Theoretical Gas Forward Pricing. Take a moment with it on the right.

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Problem

Given S0 = 35 €/MWh, r = 4% with continuous compounding, convenience yield y = 1.5% continuously, and storage cost U = 1.20 €/MWh paid today, how would you calculate the theoretical 1-year forward price for gas?