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Optimal trading with regime switching: Numerical and analytic techniques applied to valuing storage in an electricity balancing market

Paul V. Johnson 0001, Dávid Zoltán Szabó, Peter W. Duck. Optimal trading with regime switching: Numerical and analytic techniques applied to valuing storage in an electricity balancing market. European Journal of Operational Research, 319(2):611-624, 2024. [doi]

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