Efficient Stochastic Programming Techniques for Electricity Swing Options

Author:

Steinbach Marc C.,Vollbrecht Hans-Joachim

Publisher

Springer Berlin Heidelberg

Reference32 articles.

1. Angelo Barbieri and Mark B. Garman. Understanding the valuation of swing contracts. Energy and Power Risk Management, 1996.

2. Olivier Bardou, Sandrine Bouthemy, and Gilles Pag`es. Optimal quantization for the pricing of swing options. Technical report, Gaz de France, 6 April 2007. eprint arXiv: 0705.0466, 2007 – arxiv.org.

3. John R. Birge and François Louveaux. Introduction to Stochastic Programming. Springer, Berlin, 1997.

4. Lea Blöchlinger, Karl Frauendorfer, and Gido Haarbrücker. Vertragsbewertung in der Stromwirtschaft unter Anwendung der stochastischen Optimierung. Working Paper ior/cf-HSG 06-04-01, Universität St. Gallen, Switzerland, 2006.

5. René Carmona and Savas Dayanik. Optimal multiple-stopping of linear diffusions and swing options. Technical report, Princeton University, New Jersey, 2003.

Cited by 1 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. PRICING SWING OPTIONS WITH TYPICAL CONSTRAINTS;Journal of the Operations Research Society of Japan;2011

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