Efficient Stochastic Programming Techniques for Electricity Swing Options

DOI10.1007/978-3-540-88965-6_21MaRDI QIDQ3628674zbMATH OpenOpenAlexFDO

Authors Marc C. Steinbach, Hans-Joachim Vollbrecht

Publication date 20 May 2009

Published in Optimization in the Energy Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-88965-6_21

Mathematics Subject Classification ID

Production models (90B30) Stochastic programming (90C15)

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Cited in

(6)

• Valuation of electricity swing options by multistage stochastic programming
• Energy contracts management by stochastic programming techniques
• Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
• Sensitivity analysis of energy contracts by stochastic programming techniques
• Pricing swing options in the electricity markets under regime-switching uncertainty
• Stochastic spot price multi-period model and option valuation for electrical markets

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