Electricity swing options: behavioral models and pricing

DOI10.1016/j.ejor.2007.12.047zbMath1176.90445OpenAlexW2031543303WikidataQ59254993 ScholiaQ59254993MaRDI QIDQ1042024

Nikola Broussev, Georg Ch. Pflug

Publication date: 7 December 2009

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.12.047

zbMATH Keywords

stochastic programmingpricingswing optionOR in energyequilibrium pricebehavioral model

Mathematics Subject Classification ID

Stochastic programming (90C15)

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Cites Work

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• Valuation of Commodity-Based Swing Options
• Optimal Multiple Stopping of Linear Diffusions
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

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