Stochastic spot price multi-period model and option valuation for electrical markets

DOI10.1080/14697688.2013.772652MaRDI QIDQ5397401zbMATH OpenOpenAlexFDO

Authors Eivind Helland, Timur Aka, Eric Winnington

Publication date 20 February 2014

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2013.772652

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Derivative securities (option pricing, hedging, etc.) (91G20)

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(4)

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• Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
• Electricity price modeling and asset valuation: a multi-fuel structural approach
• A spot market model for pricing derivatives in electricity markets

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