Repository logo

Infoscience

  • English
  • French
Log In
Logo EPFL, École polytechnique fédérale de Lausanne

Infoscience

  • English
  • French
Log In
  1. Home
  2. Academic and Research Output
  3. Journal articles
  4. Valuation of electricity swing options by multistage stochastic programming
 
research article

Valuation of electricity swing options by multistage stochastic programming

Haarbrücker, Gido
•
Kuhn, Daniel  
2009
Automatica

Electricity swing options are Bermudan-style path-dependent derivatives on electrical energy. We consider an electricity market driven by several exogenous risk factors and formulate the pricing problem for a class of swing option contracts with energy and power limits as well as ramping constraints. Efficient numerical solution of the arising multistage stochastic program requires aggregation of decision stages, discretization of the probability space, and reparameterization of the decision space. We report on numerical results and discuss analytically tractable limiting cases.

  • Details
  • Metrics
Type
research article
DOI
10.1016/j.automatica.2008.11.022
Author(s)
Haarbrücker, Gido
Kuhn, Daniel  
Date Issued

2009

Publisher

Elsevier

Published in
Automatica
Volume

45

Issue

4

Start page

889

End page

899

Subjects

Stochastic programming

•

Model approximation

•

Discretization

•

Energy

•

Finance

•

Swing option

Editorial or Peer reviewed

NON-REVIEWED

Written at

OTHER

EPFL units
RAO  
Available on Infoscience
January 21, 2014
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/100069
Logo EPFL, École polytechnique fédérale de Lausanne
  • Contact
  • infoscience@epfl.ch

  • Follow us on Facebook
  • Follow us on Instagram
  • Follow us on LinkedIn
  • Follow us on X
  • Follow us on Youtube
AccessibilityLegal noticePrivacy policyCookie settingsEnd User AgreementGet helpFeedback

Infoscience is a service managed and provided by the Library and IT Services of EPFL. © EPFL, tous droits réservés