In this article, we provide a tractable stochastic modeling approach for the valuation of natural gas storage contracts. The model tackles the well-known problem that natural gas futures contracts, similar to swap contracts, provide aggregated price expectations over their delivery periods, which are difficult to incorporate in standard pricing frameworks. We solve this problem by combining a market model with a smooth interpolation function. Our two-step modeling framework provides great

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... ility in modeling futures price dynamics and allows model parameters to be calibrated directly to observable market data instead of latent factors. To highlight the convenience of our modeling approach, we discuss an implementation designed for the valuation of a natural gas storage contract in the U.S. market.