Kovacevic, Raimund M.; Pflug, Georg Ch. - In: European Journal of Operational Research 237 (2014) 2, pp. 389-403
We demonstrate how the problem of determining the ask price for electricity swing options can be considered as a stochastic bilevel program with asymmetric information. Unlike as for financial options, there is no way for basing the pricing method on no-arbitrage arguments. Two main situations...