Real option valuation for reserve capacity

DOI10.1016/j.ejor.2016.07.003zbMath1395.91462OpenAlexW3124434418WikidataQ59889976 ScholiaQ59889976MaRDI QIDQ1752795

Jan Palczewski, John Moriarty

Publication date: 24 May 2018

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

Full work available at URL: http://eprints.whiterose.ac.uk/102001/1/master-EJOR.pdf

zbMATH Keywords

applied probabilityOR in energypower system balancingcapacity marketreal option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (5)

Real option valuation of a decremental regulation service provided by electricity storage ⋮ Partial differential equation methods for stochastic dynamic optimization: an application to wind power generation with energy storage ⋮ Optimal trading of imbalance options for power systems using an energy storage device ⋮ A review of the operations literature on real options in energy ⋮ Nash equilibria of threshold type for two-player nonzero-sum games of stopping

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Pricing of fluctuations in electricity markets
• Capacity market design options: a dynamic capacity investment model and a GB case study
• Electric load forecasting methods: tools for decision making
• Renewable energy investments under different support schemes: a real options approach
• Trading a mean-reverting asset: buy low and sell high
• On the optimal stopping problem for one-dimensional diffusions.
• Stock Trading: An Optimal Selling Rule
• BUY-LOW AND SELL-HIGH INVESTMENT STRATEGIES
• Optimal Multiple Stopping of Linear Diffusions
• Valuation of energy storage: an optimal switching approach

This page was built for publication: Real option valuation for reserve capacity