An options pricing approach to ramping rate restrictions at hydro power plants
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Publication:1656523
DOI10.1016/j.jedc.2015.11.003zbMath1401.91485OpenAlexW3126116243MaRDI QIDQ1656523
Publication date: 10 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2015.11.003
stochastic controlregime switchingelectricityHamilton Jacobi Bellman-partial differential equationhydro power plantramping rate
Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)
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