کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
478127 1446025 2014 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches
ترجمه فارسی عنوان
قیمت گذاری گزینه نوسان برق با بهینه سازی دو متغیر تصادفی: یک نظرسنجی و رویکردهای جدید
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
چکیده انگلیسی


• We review swing option pricing in the context of stochastic bilevel programs.
• Several to date modeling and algorithmic approaches are discussed.
• We treat a penalty method for stochastic multistage bilevel problems in detail.
• We demonstrate the complexity on a real world problem.
• The bargaining between a potential seller and a buyer is illustrated.

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 237, Issue 2, 1 September 2014, Pages 389–403
نویسندگان
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