Arbitrage conditions for electricity markets with production and storage

DOI10.1007/s10287-019-00347-3OpenAlexW2920989190MaRDI QIDQ2010377

Raimund M. Kovacevic

Publication date: 27 November 2019

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-019-00347-3

zbMATH Keywords

duality theoryarbitragestochastic discount factorelectricity production

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

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• Valuation and pricing of electricity delivery contracts: the producer's view
• Multistage Stochastic Optimization
• SUPERHEDGING IN ILLIQUID MARKETS
• Option pricing by mathematical programming†

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