Valuation of electricity swing options by multistage stochastic programming

DOI10.1016/j.automatica.2008.11.022zbMath1177.90299OpenAlexW2123658477MaRDI QIDQ1023350

Daniel Kuhn, Gido Haarbrücker

Publication date: 11 June 2009

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://www.alexandria.unisg.ch/52991/1/Valuation%20of%20Electricity%20Swing%20Options.pdf

zbMATH Keywords

energydiscretizationstochastic programmingfinanceswing optionmodel approximation

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

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