Gas storage valuation applying numerically constructed recombining trees
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Cites work
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
- An approximate dynamic programming approach to benchmark practice-based heuristics for natural gas storage valuation
- Applied stochastic control of jump diffusions
- Coherent measures of risk
- Discrete time modeling of mean-reverting stochastic processes for real option valuation
- Finding Groups in Data
- Least squares quantization in PCM
- Multivariate analysis methods. An application oriented introduction.
- Natural gas storage valuation and optimization: A real options application
- Numerical methods for the pricing of swing options: a stochastic control approach
- Optimal Quantization for the Pricing of Swing Options
- Optimal commodity trading with a capacitated storage asset
- STORAGE OPTIONS VALUATION USING MULTILEVEL TREES AND CALENDAR SPREADS
- Short-Term Generation Asset Valuation: A Real Options Approach
- Uncertainty in the electric power industry. Methods and models for decision support
- Valuation of Commodity-Based Swing Options
- Valuation of energy storage: an optimal switching approach
Cited in
(18)- Comparison of least squares Monte Carlo methods with applications to energy real options
- Optimal timing of non-pharmaceutical interventions during an epidemic
- Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
- Real options in operations research: a review
- A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
- Gas storage hedging
- Assessing the value of natural gas underground storage in the Brazilian system via stochastic dual dynamic programming
- Natural gas storage valuation and optimization: A real options application
- Valuation of storage at a liquefied natural gas terminal
- Optimal operation of pumped-hydro storage plants with continuous time-varying power prices
- Gas storage valuation in incomplete markets
- A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
- A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
- Implications of a regime-switching model on natural gas storage valuation and optimal operation
- STORAGE OPTIONS VALUATION USING MULTILEVEL TREES AND CALENDAR SPREADS
- Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes
- An approximate dynamic programming approach to benchmark practice-based heuristics for natural gas storage valuation
- A review of the operations literature on real options in energy
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