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Advanced LNG Option Pricing

An Interactive 4-Day Training Course

Advanced LNG Option Pricing

Methods and Algorithm for Valuation of Flexible Derivative Instruments

NASBA

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Course Summary

In this training course we address crucial aspects of modern financial and energy commodity markets—their flexible trading strategies. We present and discuss the sophisticated techniques required to evaluate derivative market instruments for Liquified Natural Gas (LNG). These are vital for managing risk and optimizing investment strategies in energy markets. Derivatives such as options, futures, and swaps provide flexibility to market participants, allowing them to hedge against price fluctuations and capitalize on favorable financial outcomes. By focusing on advanced analytical methods and algorithms, the training course equips delegates with the analytical tools needed to model and predict market behavior, design investment strategies, and make informed decisions.

 This GLOMACS Advanced LNG Option Pricing training course will highlight the following:

  • Regional natural gas markets and LNG business
  • Price behavior and stochastic models in energy commodity markets
  • Tools and Techniques for valuation of derivative contracts
  • Analytical tools: Monte Carlo Simulation, Binomial lattice, and mathematical solutions (including Black-Scholes options pricing model)
  • Case studies in option valuation and decision making.
Course Outline
Day 1

Introduction to LNG Options Trading

  • Introduction to energy commodity markets
  • Price behavior of stocks and commodities
  • LNG pricing mechanisms
  • Stochastic models: Random Walk, Geometric Brownian Motion, and Mean-Reversion
  • Natural gas markets and their fat-tailed prices
  • Derivative contracts in commodity exchanges
  • Options contract: Types, Terminology, and importance in LNG Trading
Day 2

An Overview of Commodity Options Pricing Models

  • Basics of stochastic price modeling
  • Historical price trends and volatility—Forward looking implied volatility.
  • Valuation models: binomial lattice, Black-Scholes options pricing Model, and Monte Carlo Simulation
  • Recognizing the strengths and weakness of each model and their applications
  • Understanding Greeks and sensitivities
  • Spreadsheet models of valuation and simulation add-ins: introduction to Lumivero’s @risk software
Day 3

Monte Carlo Simulation and Binomial Model

  • Basics of Monte Carlo Simulation: theory versus practice
  • Risk analysis and option pricing using Monte Carlo Simulation
  • Implementation of Monte Carlo simulation models
  • Lumivero’s @risk software for efficient simulations
  • Understanding the Binomial Model theory and calculations
  • Building binomial lattice in Spreadsheets and valuation of American options
  • Modeling path dependency in a binomial lattice
  • Practical example: European option on LNG futures
  • Model validation and testing: sensitivity analysis.
Day 4

Understanding the Binomial Model

  • Dynamic programming and basics of backward recursion algorithm
  • Analytical models: derivation of Black and Scholes model and its limitations
  • Major flaw of the analytical models: geometric Brownian motion assumption
  • Practical example: Binomial lattice for LNG options pricing
  • Scenario Analysis: Comparing results from different models in real-life scenarios.
  • Trends in option valuation: Least Squares Monet Carlo Simulation for complex options
Certificates
  • On successful completion of this training course, GLOMACS Certificate will be awarded to the delegates.
  • Continuing Professional Education credits (CPE): In accordance with the standards of the National Registry of CPE Sponsors, one CPE credit is granted per 50 minutes of attendance.
Providers

Endorsed Education Provider

NASBA
Options & Brochure
Related Categories
Oil and Gas
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NASBA

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Saudi GLOMACS is the official Saudi Arabian division of GLOMACS International (glomacs.com), delivering internationally recognised training courses both within Saudi Arabia and across international locations. Our training courses are aligned with the highest professional and institutional standards, supported by a strong understanding of the professional landscape in Saudi Arabia and access to global expertise.

Saudi GLOMACS enables professionals and organisations to strengthen leadership, capability, and long-term excellence through consistently high-quality learning experiences.

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Official Saudi Arabian division of GLOMACS with established global credibility.

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Internationally benchmarked training courses aligned with professional best practices.

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Trusted by professionals and institutions across public and private sectors.

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Training courses delivered within Saudi Arabia and across international locations.

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No. Saudi GLOMACS delivers courses in Saudi Arabia and internationally, including delivery across Europe and Asia. This allows organisations and professionals to access training both locally and abroad.

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GLOMACS has been delivering professional training for over thirty years, with courses delivered across Europe, the Middle East, Asia, and other international markets.

Saudi GLOMACS combines three decades of global training experience with a clear focus on Saudi market relevance. This allows it to deliver training that is both internationally credible and locally applicable, across a broader range of disciplines than niche or single-focus providers.

Saudi GLOMACS is a Saudi-based professional training provider delivering courses tailored to the Saudi market and applicable internationally. It operates within the global GLOMACS framework and draws on more than three decades of international training experience.

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