Valuation of power plants by utility indifference and numerical computation
DOI10.1007/S00186-008-0231-ZzbMATH Open1180.91218OpenAlexW2089721892MaRDI QIDQ836863FDOQ836863
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
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backward stochastic differential equationreal optionutility indifferencefinite differences for PDEnonlinear Monte Carlo methods
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)
Cites Work
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
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- Dynamic exponential utility indifference valuation
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- Pricing via utility maximization and entropy.
- Optimal Switching over Multiple Regimes
- Backward Stochastic Differential Equations in Finance
- On the Starting and Stopping Problem: Application in Reversible Investments
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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- Valuing American options by simulation: a simple least-squares approach
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- Bounds for the utility-indifference prices of non-traded assets in incomplete markets
- Short-Term Generation Asset Valuation: A Real Options Approach
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- Title not available (Why is that?)
- INCORPORATING OPERATIONAL CHARACTERISTICS AND START-UP COSTS IN OPTION-BASED VALUATION OF POWER GENERATION CAPACITY
Cited In (26)
- 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
- 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
- Spatial dependencies of wind power and interrelations with spot price dynamics
- Valuation and Optimal Operation of Electric Power Plants in Competitive Markets
- Diagonally quadratic BSDE with oblique reflection and optimal switching
- Optimal switching at Poisson random intervention times
- 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
- Pricing Asset Scheduling Flexibility using Optimal Switching
- Control randomisation approach for policy gradient and application to reinforcement learning in optimal switching
- Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
- Structural estimation of switching costs for peaking power plants
- Discrete-time approximation of multidimensional BSDEs with oblique reflections
- 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
- Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation
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