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Optimal energy procurement in spot and forward markets

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Merchant commodity storage practice revisited

Secomandi, Nicola - In: Operations research 63 (2015) 5, pp. 1131-1143

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Relaxations of approximate linear programs for the real option management of commodity storage

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

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Real options in energy and commodity markets

Secomandi, Nicola (ed.) - 2017

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A computational approach to the real option management of network contracts for natural gas pipeline transport capacity

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Least Squares Monte Carlo and Approximate Linear Programming : Error Bounds and Energy Real Option Application

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Least squares Monte Carlo (LSM) is an approximate dynamic programming (ADP) technique commonly used for the valuation of high dimensional financial and real options, but has broader applicability. It is known that the regress-later version of this method is an approximate linear programming...

Persistent link: https://www.econbiz.de/10012912912

Energy Real Options : Valuation and Operations

Secomandi, Nicola - 2016

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