  Storage of electricity has become increasingly important, due to the gradual
replacement of fossil fuels by more variable and uncertain renewable energy
sources. In this paper, we provide details on how to mathematically formalize a
corresponding electricity storage contract, taking into account the physical
limitations of a storage facility and the operational constraints of the
electricity grid. We give details of a valuation technique to price these
contracts, where the electricity prices follow a structural model based on a
stochastic polynomial process. In particular, we show that the Fourier-based
COS method can be used to price the contracts accurately and efficiently.
