Valuation of electricity swing options by multistage stochastic programming-Reference-Cited by-同舟云学术

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Valuation of electricity swing options by multistage stochastic programming

Published:2009-04 Issue:4 Volume:45 Page:889-899
ISSN:0005-1098
Container-title:Automatica
language:en
Short-container-title:Automatica

Author:

Haarbrücker Gido,Kuhn Daniel

Publisher

Elsevier BV

Subject

Electrical and Electronic Engineering,Control and Systems Engineering

Reference28 articles.

1. Real Analysis and Probability;Ash,1972

2. Barbieri, A., & Garman, M. (1996). Understanding the valuation of swing contracts. In Energy and power risk management

3. Introduction to stochastic programming;Birge,1997

4. Optimal multiple-stopping of linear diffusions and swing options;Carmona;Mathematics of Operations Research,2008

5. Carmona, R., & Ludkovski, M. (2005). Gas storage and supply guarantees: an optimal switching approach. Working paper. Princeton University

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