2013-05-13Buch
Electricity Swing Option Pricing by Stochastic Bilevel Optimization: a Survey and New Approaches
Kovacevic, Raimund M.; Pflug, Georg Ch.
We demonstrate how the problem of determining the ask price for electricityswing options can be considered as a stochastic bilevel program with asymmetricinformation. Unlike as for financial options, there is no way for ...