Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches
نویسندگان
چکیده
منابع مشابه
Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches
We demonstrate how the pricing problem for electricity swing options can be considered as a stochastic bilevel program with asymmetric information. Unlike as for nancial options, there is no way for basing the pricing method on no-arbitrage arguments. Two main situations are analyzed: If the seller has strong market power he/she might be able to maximize his/her utility, while in fully competit...
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ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2014
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2013.12.029