Distributed energy resources flexibility as volumetric options on electricity

DOI10.3934/FMF.2023018MaRDI QIDQ6187722zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 2096574 (Why is no real title available?)
• A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model
• Approximation by superpositions of a sigmoidal function
• 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.
• Forecasting sales by exponentially weighted moving averages
• Numerical methods for the pricing of swing options: a stochastic control approach
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Pricing options on realized variance
• Swing option pricing by dynamic programming with b-spline density projection
• Valuation of Commodity-Based Swing Options
• Valuation of electricity swing options by multistage stochastic programming
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Valuing American options by simulation: a simple least-squares approach
• When are swing options bang-bang?

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