Optimal trading with regime switching : numerical and analytic techniques applied to valuing storage in an electricity balancing market

Paul Johnson, Dávid Zoltán Szabó, Peter Duck

Year of publication:	2024
Authors:	Johnson, Paul ; Szabó, Dávid Zoltán ; Duck, Peter
Published in:	European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 319.2024, 2 (1.12.), p. 611-624
Subject:	Partial differential equations \| Perpetual options \| Regime switching \| Stochastic optimal control \| Optionspreistheorie \| Option pricing theory \| Kontrolltheorie \| Control theory \| Mathematische Optimierung \| Mathematical programming \| Stochastischer Prozess \| Stochastic process \| Markov-Kette \| Markov chain

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