Valuation of power plants by utility indifference and numerical computation

DOI10.1007/S00186-008-0231-ZMaRDI QIDQ836863zbMATH OpenOpenAlexFDO

Authors Arnaud Porchet, Nizar Touzi, Xavier Warin

Publication date 9 September 2009

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00186-008-0231-z

zbMATH Keywords

backward stochastic differential equationreal optionutility indifferencefinite differences for PDEnonlinear Monte Carlo methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Corporate finance (dividends, real options, etc.) (91G50) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

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• Short-Term Generation Asset Valuation: A Real Options Approach
• Utility maximization in incomplete markets
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Valuing American options by simulation: a simple least-squares approach

Cited in

(26)

• Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Robust utility maximisation with intractable claims
• Backward SDEs with two rcll reflecting barriers without Mokobodski's hypothesis
• Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems
• A real options model for the disinvestment in conventional power plants
• Utility indifference pricing and hedging for structured contracts in energy markets
• Valuation of power plants
• Spatial dependencies of wind power and interrelations with spot price dynamics
• A Framework Using Two-Factor Price Lattices for Generation Asset Valuation
• Natural gas-fired power plants valuation and optimization under Lévy copulas and regime switching
• Valuation and Optimal Operation of Electric Power Plants in Competitive Markets
• Optimal switching at Poisson random intervention times
• Diagonally quadratic BSDE with oblique reflection and optimal switching
• Multi-dimensional BSDE with oblique reflection and optimal switching
• INCORPORATING OPERATIONAL CHARACTERISTICS AND START-UP COSTS IN OPTION-BASED VALUATION OF POWER GENERATION CAPACITY
• A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets
• An existence theorem for multidimensional BSDEs with mixed reflections
• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
• Pricing Asset Scheduling Flexibility using Optimal Switching
• Discrete-time approximation of multidimensional BSDEs with oblique reflections
• Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
• Structural estimation of switching costs for peaking power plants
• A review of the operations literature on real options in energy
• BSDE representations for optimal switching problems with controlled volatility
• Optimal switching problem and system of reflected multi-dimensional FBSDEs with random terminal time

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