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2013-05-13Buch DOI: 10.18452/8434
Electricity Swing Option Pricing by Stochastic Bilevel Optimization: a Survey and New Approaches
dc.contributor.authorKovacevic, Raimund M.
dc.contributor.authorPflug, Georg Ch.
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:29:29Z
dc.date.available2017-06-16T20:29:29Z
dc.date.created2013-05-13
dc.date.issued2013-05-13
dc.date.submitted2013-04-23
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9086
dc.description.abstractWe 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 basingthe pricing method on no-arbitrage arguments. Two main situations are analyzed:if the seller has strong market power he/she might be able to maximizehis/her utility, while in fully competitive situations he/she will just look for aprice which makes profit and has acceptable risk. In both cases the seller hasto consider the decision problem of a potential buyer - the valuation problemof determining a fair value for a specific option contract - and anticipate thebuyer's optimal reaction to any proposed strike price. We also discuss somemethods for finding numerical solutions of stochastic bilevel problems witha special emphasis on using duality gap penalizations.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectstochastic optimizationeng
dc.subjectpricingeng
dc.subjectswing optioneng
dc.subjectbilevel optimizationeng
dc.subjectStackelberg gameeng
dc.subject.ddc510 Mathematik
dc.titleElectricity Swing Option Pricing by Stochastic Bilevel Optimization: a Survey and New Approaches
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100209377
dc.identifier.doihttp://dx.doi.org/10.18452/8434
local.edoc.container-titleStochastic Programming E-Print Series
local.edoc.pages38
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-publisher-nameElsevier
local.edoc.container-volume2013
local.edoc.container-issue4
local.edoc.container-erstkatid2936317-2

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