Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
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Publication:2514869
DOI10.1016/j.ejor.2013.12.029zbMath1304.91218OpenAlexW1993771131WikidataQ59254874 ScholiaQ59254874MaRDI QIDQ2514869
Raimund M. Kovacevic, Georg Ch. Pflug
Publication date: 4 February 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/9086
Stochastic programming (90C15) Applications of game theory (91A80) Derivative securities (option pricing, hedging, etc.) (91G20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76)
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