An improved basket of spread options heuristic for merchant energy storage
Author:
Affiliation:
1. Tepper School of Business, Carnegie Mellon University, Pittsburgh, PA, USA
Publisher
Informa UK Limited
Subject
Industrial and Manufacturing Engineering
Link
https://www.tandfonline.com/doi/pdf/10.1080/24725854.2017.1336685
Reference37 articles.
1. Closed form spread option valuation
2. Information Relaxations, Duality, and Convex Stochastic Dynamic Programs
3. Information Relaxations and Duality in Stochastic Dynamic Programs
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