Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches
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- Andreani, R. & Júdice, J.J. & Martínez, J.M. & Martini, T., 2016. "Feasibility problems with complementarity constraints," European Journal of Operational Research, Elsevier, vol. 249(1), pages 41-54.
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KeywordsPricing; Swing option; Bilevel optimization; Stochastic optimization; Stackelberg game;
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