Abstract: In this talk we consider a model for valuation of a swing option in the electricity market, formulated in terms of a stochastic control problem.
The holder of such option is naturally contracted a maximal amount of electricity that can be purchased until maturity (so called maximal constraint). In addition, we consider the case when the holder has to obey a minimal constraint as well, and study some of its consequences.
Marcus Eriksson: A valuation model with minimal and maximal constraints for swing options.
Marcus K. V. Eriksson (Universitetet i Oslo) holder et seminar med tittelen: A valuation model with minimal and maximal constraints for swing options.
Published June 12, 2015 1:22 PM
- Last modified June 12, 2015 1:22 PM