Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches

Raimund M. Kovacevic, Georg Ch. Pflug. Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches. European Journal of Operational Research, 237(2):389-403, 2014. [doi]

Authors

Raimund M. Kovacevic

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Georg Ch. Pflug

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