We demonstrate how the problem of determining the ask price for electricity swing options can be considered as a stochastic bilevel program with asymmetric information. Unlike as for financial options, there is no way for basing the pricing method on no-arbitrage arguments. Two main situations...

Abstract Conditional risk and acceptability mappings quantify the desirability of random variables (e.g. financial returns) by accounting for available information. In this paper the focus lies on acceptability mappings, concave translation-equivariant monotone mappings L p (Ω, F ,ℙ) →  L...

Multi-period risk functionals assign a risk value to discrete-time stochastic processes. While convexity and monotonicity extend in straightforward manner from the single-period case, the role of information is more problematic in the multi-period situation. In this paper, we define multi-period...