Distributed energy resources flexibility as volumetric options on electricity

DOI10.3934/FMF.2023018zbMATH Open1530.91451OpenAlexW4386901479MaRDI QIDQ6187722FDOQ6187722

Authors: Helyette Geman, Yuanye Ma 

Publication date: 15 January 2024

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/fmf.2023018

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zbMATH Keywords

machine learningrecurrent neural networkdistributed energy resourceconsumption flexibilityvolumetric option

Mathematics Subject Classification ID

Artificial neural networks and deep learning (68T07) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

• Forecasting sales by exponentially weighted moving averages
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Valuing American options by simulation: a simple least-squares approach
• Approximation by superpositions of a sigmoidal function
• Pricing options on realized variance
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• When are swing options bang-bang?
• Valuation of Commodity-Based Swing Options
• Numerical methods for the pricing of swing options: a stochastic control approach
• Valuation of electricity swing options by multistage stochastic programming
• Title not available (Why is that?)
• Comparison of least squares Monte Carlo methods with applications to energy real options
• Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing.
• Swing option pricing by dynamic programming with b-spline density projection
• A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model

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