IDEAS home Printed from https://ideas.repec.org/r/taf/apmtfi/v15y2008i5-6p405-447.html
   My bibliography  Save this item

Pricing Asset Scheduling Flexibility using Optimal Switching

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Corinne Chaton & Laure Durand‐Viel, 2013. "Real Asset Valuation under Imperfect Competition: Can We Forget About Market Fundamentals?," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 22(1), pages 125-139, March.
  2. Dabadghao, Shaunak S. & Chockalingam, Arun & Soltani, Taimaz & Fransoo, Jan, 2021. "Valuing Switching options with the moving-boundary method," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  3. Woo, C.K. & Shiu, A. & Liu, Y. & Luo, X. & Zarnikau, J., 2018. "Consumption effects of an electricity decarbonization policy: Hong Kong," Energy, Elsevier, vol. 144(C), pages 887-902.
  4. Marie Bernhart & Huyên Pham & Peter Tankov & Xavier Warin, 2011. "Swing Options Valuation:a BSDE with Constrained Jumps Approach," Working Papers hal-00553356, HAL.
  5. Liangchen Li & Michael Ludkovski, 2018. "Stochastic Switching Games," Papers 1807.03893, arXiv.org.
  6. repec:dau:papers:123456789/11439 is not listed on IDEAS
  7. Chassagneux, Jean-François & Richou, Adrien, 2019. "Rate of convergence for the discrete-time approximation of reflected BSDEs arising in switching problems," Stochastic Processes and their Applications, Elsevier, vol. 129(11), pages 4597-4637.
  8. Erhan Bayraktar & Qi Feng & Zhaoyu Zhang, 2022. "Deep Signature Algorithm for Multi-dimensional Path-Dependent Options," Papers 2211.11691, arXiv.org, revised Jan 2024.
  9. Mihail Zervos & Carlos Oliveira & Kate Duckworth, 2018. "An investment model with switching costs and the option to abandon," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 88(3), pages 417-443, December.
  10. Woo, C.K. & Moore, J. & Schneiderman, B. & Ho, T. & Olson, A. & Alagappan, L. & Chawla, K. & Toyama, N. & Zarnikau, J., 2016. "Merit-order effects of renewable energy and price divergence in California’s day-ahead and real-time electricity markets," Energy Policy, Elsevier, vol. 92(C), pages 299-312.
  11. Chi-Keung Woo, Ira Horowitz, Jay Zarnikau, Jack Moore, Brendan Schneiderman, Tony Ho, and Eric Leung, 2016. "What Moves the Ex Post Variable Profit of Natural-Gas-Fired Generation in California?," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  12. Lin Zhao & Sweder van Wijnbergen, 2015. "Asset Pricing in Incomplete Markets: Valuing Gas Storage Capacity," Tinbergen Institute Discussion Papers 15-104/VI/DSF95, Tinbergen Institute.
  13. Ren'e Aid & Luciano Campi & Nicolas Langren'e & Huy^en Pham, 2012. "A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation," Papers 1210.8175, arXiv.org.
  14. Alexandre Roch, 2023. "Optimal Liquidation Through a Limit Order Book: A Neural Network and Simulation Approach," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-29, March.
  15. El Asri, Brahim, 2013. "Stochastic optimal multi-modes switching with a viscosity solution approach," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 579-602.
  16. Dabadghao, Shaunak S. & Chockalingam, Arun & Soltani, Taimaz & Fransoo, Jan C., 2021. "Valuing switching options with the moving-boundary method," Other publications TiSEM 45fe7e78-129f-4d41-ac2f-5, Tilburg University, School of Economics and Management.
  17. Aïd, René & Campi, Luciano & Langrené, Nicolas & Pham, Huyên, 2014. "A probabilistic numerical method for optimal multiple switching problems in high dimension," LSE Research Online Documents on Economics 63011, London School of Economics and Political Science, LSE Library.
  18. Zarnikau, J. & Woo, C.K. & Zhu, S. & Tsai, C.H., 2019. "Market price behavior of wholesale electricity products: Texas," Energy Policy, Elsevier, vol. 125(C), pages 418-428.
  19. René Aïd & Luciano Campi & Nicolas Langrené & Huyên Pham, 2012. "A probabilistic numerical method for optimal multiple switching problems in high dimension," Working Papers hal-00747229, HAL.
  20. Woo, C.K. & Chen, Y. & Olson, A. & Moore, J. & Schlag, N. & Ong, A. & Ho, T., 2017. "Electricity price behavior and carbon trading: New evidence from California," Applied Energy, Elsevier, vol. 204(C), pages 531-543.
  21. Randall Martyr, 2014. "Solving finite time horizon Dynkin games by optimal switching," Papers 1411.4438, arXiv.org, revised Jan 2016.
  22. Magnus Perninge, 2018. "A limited-feedback approximation scheme for optimal switching problems with execution delays," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(3), pages 347-382, June.
  23. Magnus Perninge & Lennart Söder, 2014. "Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(2), pages 195-224, April.
  24. René Carmona & Savas Dayanik, 2008. "Optimal Multiple Stopping of Linear Diffusions," Mathematics of Operations Research, INFORMS, vol. 33(2), pages 446-460, May.
  25. Erhan Bayraktar & Masahiko Egami, 2010. "On the One-Dimensional Optimal Switching Problem," Mathematics of Operations Research, INFORMS, vol. 35(1), pages 140-159, February.
  26. de Angelis, Tiziano & Ferrari, Giorgio & Hamadène, Saïd, 2018. "A Note on a New Existence Result for Reflected BSDES with Interconnected Obstacles," Center for Mathematical Economics Working Papers 591, Center for Mathematical Economics, Bielefeld University.
  27. Gassiat, Paul & Kharroubi, Idris & Pham, Huyên, 2012. "Time discretization and quantization methods for optimal multiple switching problem," Stochastic Processes and their Applications, Elsevier, vol. 122(5), pages 2019-2052.
  28. Magnus Perninge, 2020. "A finite horizon optimal switching problem with memory and application to controlled SDDEs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(3), pages 465-500, June.
  29. Michael Ludkovski, 2010. "Stochastic Switching Games and Duopolistic Competition in Emissions Markets," Papers 1001.3455, arXiv.org, revised Aug 2010.
  30. Cortazar, Gonzalo & Naranjo, Lorenzo & Sainz, Felipe, 2021. "Optimal decision policy for real options under general Markovian dynamics," European Journal of Operational Research, Elsevier, vol. 288(2), pages 634-647.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.