Gas storage valuation applying numerically constructed recombining trees

DOI10.1016/j.ejor.2011.07.029zbMath1237.91100OpenAlexW2081228943MaRDI QIDQ421730

Bastian Joachim Felix, Christoph Weber

Publication date: 14 May 2012

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.07.029

zbMATH Keywords

stochastic programmingdynamic programmingOR in energyreal option valuationrecombining trees

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Microeconomic theory (price theory and economic markets) (91B24) Corporate finance (dividends, real options, etc.) (91G50)

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Uses Software

• clusfind

Cites Work

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