Electricity swing option pricing by stochastic bilevel optimization : a survey and new approaches
Raimund M. Kovacevic; Georg Ch. Pflug
| Year of publication: |
2014
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|---|---|
| Authors: | Kovacevic, Raimund ; Pflug, Georg |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 237.2014, 2 (1.9.), p. 389-403
|
| Subject: | Pricing | Swing option | Bilevel optimization | Stackelberg game | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010380026