Robust management and pricing of liquefied natural gas contracts with cancelation options

DOI10.1007/s10957-013-0309-5zbMath1295.91085OpenAlexW2167199277MaRDI QIDQ2247923

Yanyan Li

Publication date: 30 June 2014

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-013-0309-5

zbMATH Keywords

stochastic programmingrisk aversionCVaRrolling horizon

Mathematics Subject Classification ID

Stochastic programming (90C15) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

A rolling horizon approach for stochastic mixed complementarity problems with endogenous learning: application to natural gas markets ⋮ Examining the benefits of load shedding strategies using a rolling-horizon stochastic mixed complementarity equilibrium model

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