Valuation of electricity swing options by multistage stochastic programming
نویسندگان
چکیده
منابع مشابه
Valuation of electricity swing options by multistage stochastic programming
Electricity swing options are Bermudan-style path-dependent derivatives on electrical energy. We consider an electricity market driven by several exogenous risk factors and formulate the pricing problem for a class of swing option contracts with energy and power limits as well as ramping constraints. Efficient numerical solution of the arising multistage stochastic program requires aggregation ...
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ژورنال
عنوان ژورنال: Automatica
سال: 2009
ISSN: 0005-1098
DOI: 10.1016/j.automatica.2008.11.022