Search Results - subject:"Multiple optimal stopping"

Imbalance market real options and the valuation of storage in future energy systems

Moriarty, John; Palczewski, Jan - In: Risks 7 (2019) 2, pp. 1-30

As decarbonisation progresses and conventional thermal generation gradually gives way to other technologies including intermittent renewables, there is an increasing requirement for system balancing from new and also fast-acting sources such as battery storage. In the deregulated context, this...

Persistent link: https://www.econbiz.de/10013200457

Imbalance market real options and the valuation of storage in future energy systems

Moriarty, John; Palczewski, Jan - In: Risks : open access journal 7 (2019) 2/39, pp. 1-30

Persistent link: https://www.econbiz.de/10012019299

Non-standard backward stochastic differential equations and multiple optimal stopping problems with applications to securities pricing

Zhang, Jianing - 2012

language of multiple optimal stopping and develop a martingale dual approach for characterizing the optimal possible outcome …

Persistent link: https://www.econbiz.de/10009783510