| 来源类型 | Article |
| 规范类型 | 其他 |
| DOI | 10.1016/j.ejor.2013.12.029 |
| Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches. | |
| Kovacevic RM; Pflug GC | |
| 发表日期 | 2014 |
| 出处 | European Journal of Operational Research 237 (2): 389-403 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | 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 are analyzed: if the seller has strong market power he/she might be able to maximize his/her utility, while in fully competitive situations he/she will just look for a price which makes profit and has acceptable risk. In both cases the seller has to consider the decision problem of a potential buyer . the valuation problem of determining a fair value for a specific option contract . and anticipate the buyer's optimal reaction to any proposed strike price. We also discuss some methods for finding numerical solutions of stochastic bilevel problems with a special emphasis on using duality gap penalizations. |
| 主题 | Risk, Policy and Vulnerability (RPV) ; Risk & ; Resilience (RISK) |
| 关键词 | Pricing Swing option Bilevel optimization Stochastic optimization Stackelberg game |
| URL | http://pure.iiasa.ac.at/id/eprint/10939/ |
| 来源智库 | International Institute for Applied Systems Analysis (Austria) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/130056 |
| 推荐引用方式 GB/T 7714 | Kovacevic RM,Pflug GC. Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches.. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Kovacevic RM]的文章 |
| [Pflug GC]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Kovacevic RM]的文章 |
| [Pflug GC]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Kovacevic RM]的文章 |
| [Pflug GC]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
