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ArticleGas storage valuation in incomplete markets

Nils Löhndorf2020

Article2020

Gas storage valuation in incomplete markets

Nils Löhndorf · David Wozabal

36 citations·0/0 files stored·European Journal of Operational Research

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Stochastic processes and financial applications Capital Investment and Risk Analysis Risk and Portfolio Optimization

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References

1951A Stochastic Approximation Method 2009Lectures on Stochastic Programming: Modeling and Theory 2009Lectures on Stochastic Programming 2003Scenario reduction in stochastic programming 2010Stochastic Linear Programming 2000Scenario reduction in stochastic programming: An approach using probability metrics 2000Energy derivatives : pricing and risk management 2003Evaluation of scenario-generation methods for stochastic programming

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Year2020

Typearticle

Published2020-05-29

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.ejor.2020.05.044

openalex_workW3031456873

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