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Comparison of least squares Monte Carlo methods with applications to energy real options

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Cited by:

  1. Glinsky, Vadim & Chopra, Sunil & Lücker, Florian, 2020. "Managing Disruption Risk Over the Product Life Cycle," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 101-120, October.
  2. Nadarajah, Selvaprabu & Secomandi, Nicola, 2020. "Least Squares Monte Carlo and Approximate Linear Programming with an Energy Real Option Application," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 178-202, October.
  3. Maier, Sebastian & Pflug, Georg C. & Polak, John W., 2020. "Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties," European Journal of Operational Research, Elsevier, vol. 285(1), pages 133-147.
  4. Jungmin An & Dong-Kwan Kim & Jinyeong Lee & Sung-Kwan Joo, 2021. "Least Squares Monte Carlo Simulation-Based Decision-Making Method for Photovoltaic Investment in Korea," Sustainability, MDPI, vol. 13(19), pages 1-14, September.
  5. Lin, Tiantian & Zhou, Weihua & Cai, Gangshu (George), 2020. "Guarantor Financing Selection Under Influence of Supply Chain Leadership and Economies of Scale," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 23-43, October.
  6. Leonardo Kanashiro Felizardo & Elia Matsumoto & Emilio Del-Moral-Hernandez, 2022. "Solving the optimal stopping problem with reinforcement learning: an application in financial option exercise," Papers 2208.00765, arXiv.org.
  7. Alessio Trivella & Danial Mohseni-Taheri & Selvaprabu Nadarajah, 2023. "Meeting Corporate Renewable Power Targets," Management Science, INFORMS, vol. 69(1), pages 491-512, January.
  8. Keles, Dogan & Dehler-Holland, Joris, 2022. "Evaluation of photovoltaic storage systems on energy markets under uncertainty using stochastic dynamic programming," Energy Economics, Elsevier, vol. 106(C).
  9. de Matta, Renato & Hsu, Vernon, 2020. "Managing Disruption Risk Over the Product Life Cycle," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 121-137., October.
  10. Wei, Wei & Zhu, Dan, 2022. "Generic improvements to least squares monte carlo methods with applications to optimal stopping problems," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1132-1144.
  11. Michael Ludkovski & Aditya Maheshwari, 2018. "Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective," Papers 1803.11309, arXiv.org.
  12. Mike Ludkovski, 2020. "mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms," Papers 2012.00729, arXiv.org, revised Oct 2022.
  13. Gorupec Natalia & Tiberius Victor & Brehmer Nataliia & Kraus Sascha, 2022. "Tackling uncertain future scenarios with real options: A review and research framework," The Irish Journal of Management, Sciendo, vol. 41(1), pages 69-88, July.
  14. Guiotto, Paolo & Roncoroni, Andrea & Turcic, Danko, 2020. "The Term Structure of Optimal Operations," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 155-177, October.
  15. Cao, Bin & Chen, Xin & Cheng, T. C. Edwin & Zhong, Yuan-Guang & Zhou, Yong-Wu, 2020. "Inventory and Financial Strategies with Capital Constraints and Limited Joint Liability," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 44-59, October.
  16. Alessio Trivella & Selvaprabu Nadarajah & Stein-Erik Fleten & Denis Mazieres & David Pisinger, 2021. "Managing Shutdown Decisions in Merchant Commodity and Energy Production: A Social Commerce Perspective," Manufacturing & Service Operations Management, INFORMS, vol. 23(2), pages 311-330, March.
  17. Lee, Sangmin & Boomsma, Trine Krogh, 2022. "An approximate dynamic programming algorithm for short-term electric vehicle fleet operation under uncertainty," Applied Energy, Elsevier, vol. 325(C).
  18. Christian Bender & Nikolaus Schweizer, 2019. "`Regression Anytime' with Brute-Force SVD Truncation," Papers 1908.08264, arXiv.org, revised Oct 2020.
  19. Nicholas Davey & Nicolas Langrené & Wen Chen & Jonathan R. Rhodes & Simon Dunstall & Saman Halgamuge, 2023. "Designing higher value roads to preserve species at risk by optimally controlling traffic flow," Annals of Operations Research, Springer, vol. 320(2), pages 663-693, January.
  20. Gambaro, Anna Maria & Kyriakou, Ioannis & Fusai, Gianluca, 2020. "General lattice methods for arithmetic Asian options," European Journal of Operational Research, Elsevier, vol. 282(3), pages 1185-1199.
  21. Ludovic Gouden`ege & Andrea Molent & Antonino Zanette, 2021. "Moving average options: Machine Learning and Gauss-Hermite quadrature for a double non-Markovian problem," Papers 2108.11141, arXiv.org.
  22. Kouvelis, Panos & Dong, Ling & Turcic, Danko, 2020. "Advances in Supply Chain Finance and FinTech Innovations Overview," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 1-4, October.
  23. Ravi Kashyap, 2022. "Options as Silver Bullets: Valuation of Term Loans, Inventory Management, Emissions Trading and Insurance Risk Mitigation using Option Theory," Annals of Operations Research, Springer, vol. 315(2), pages 1175-1215, August.
  24. Ghoddusi, Hamed, 2020. "Renewable Identification Numbers: A Supply-Chain Risk View," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 77-100, October.
  25. Secomandi, Nicola, 2016. "A tutorial on portfolio-based control algorithms for merchant energy trading operations," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 1-13.
  26. Gazheli, Ardjan & van den Bergh, Jeroen, 2018. "Real options analysis of investment in solar vs. wind energy: Diversification strategies under uncertain prices and costs," Renewable and Sustainable Energy Reviews, Elsevier, vol. 82(P3), pages 2693-2704.
  27. Nadarajah, Selvaprabu & Secomandi, Nicola, 2023. "A review of the operations literature on real options in energy," European Journal of Operational Research, Elsevier, vol. 309(2), pages 469-487.
  28. Gan, Rowena Jingxing & Tsoukalas, Gerry & Netessine, Serguei, 2020. "Financing Inventory Through Initial Coin Offerings (ICOs)," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 60-76, October.
  29. Shao, Lusheng & Anderson, Edward & Chen, Bo, 2020. "Achieving Efficiency in Capacity Procurement," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 138-154., October.
  30. Yang, S. Alex & Birge, John R., 2020. "Trade Credit in Supply Chains: Multiple Creditors and Priority Rules," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 14(1-2), pages 5-22, October.
  31. Juri Hinz & Tanya Tarnopolskaya & Jeremy Yee, 2020. "Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations," Annals of Operations Research, Springer, vol. 286(1), pages 583-615, March.
  32. Goudenège, Ludovic & Molent, Andrea & Zanette, Antonino, 2022. "Moving average options: Machine learning and Gauss-Hermite quadrature for a double non-Markovian problem," European Journal of Operational Research, Elsevier, vol. 303(2), pages 958-974.
  33. Zhang, Ruixiaoxiao & Shimada, Koji & Ni, Meng & Shen, Geoffrey Q.P. & Wong, Johnny K.W., 2020. "Low or No subsidy? Proposing a regional power grid based wind power feed-in tariff benchmark price mechanism in China," Energy Policy, Elsevier, vol. 146(C).
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