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Least squares Monte Carlo and pathwise optimization for merchant energy production

Yang, Bo; Nadarajah, Selvaprabu; Secomandi, Nicola - In: Operations research 72 (2024) 6, pp. 2758-2775

Persistent link: https://www.econbiz.de/10015371559

Merchant commodity storage practice revisited

Secomandi, Nicola - In: Operations research 63 (2015) 5, pp. 1131-1143

Persistent link: https://www.econbiz.de/10011397812

Energy Real Options : Valuation and Operations

Secomandi, Nicola - 2016

Persistent link: https://www.econbiz.de/10012980822

Least Squares Monte Carlo and Approximate Linear Programming : Error Bounds and Energy Real Option Application

Nadarajah, Selvaprabu - 2018

Least squares Monte Carlo (LSM) is an approximate dynamic programming (ADP) technique commonly used for the valuation of high dimensional financial and real options, but has broader applicability. It is known that the regress-later version of this method is an approximate linear programming...

Persistent link: https://www.econbiz.de/10012912912

Optimal energy procurement in spot and forward markets

Secomandi, Nicola; Kekre, Sunder - In: Manufacturing & service operations management : M & SOM 16 (2014) 2, pp. 270-282

Persistent link: https://www.econbiz.de/10010367150

A computational approach to the real option management of network contracts for natural gas pipeline transport capacity

Secomandi, Nicola; Wang, Mulan X. - In: Manufacturing & service operations management : M & SOM 14 (2012) 3, pp. 441-454

Persistent link: https://www.econbiz.de/10009575880

Merchant commodity storage and term-structure model error

Secomandi, Nicola; Lai, Guoming; Margot, François; … - In: Manufacturing & service operations management : M & SOM 17 (2015) 3, pp. 302-320

Persistent link: https://www.econbiz.de/10011307931

Relaxations of approximate linear programs for the real option management of commodity storage

Nadarajah, Selvaprabu; Margot, François; Secomandi, Nicola - In: Management science : journal of the Institute for … 61 (2015) 12, pp. 3054-3076

Persistent link: https://www.econbiz.de/10011413516

Merchant energy trading in a network

Nadarajah, Selvaprabu; Secomandi, Nicola - In: Operations research 66 (2018) 5, pp. 1304-1320

Persistent link: https://www.econbiz.de/10011932448

Relationship between least squares Monte Carlo and approximate linear programming

Nadarajah, Selvaprabu; Secomandi, Nicola - In: Operations research letters 45 (2017) 5, pp. 409-414

Persistent link: https://www.econbiz.de/10011774608