We develop a pricing algorithm for US-style period-average reset options written on an underlying asset which evolves in a Cox-Ross-Rubinstein (CRR) framework. The averaging feature of such an option on the reset period makes the price valuation problem computationally unfeasible because the...

Wind energy is a key portion of most clean and green energy strategy. However, wind energy is intermittent and uncertain. This uncertainty poses a techno-economic challenge of sourcing the least costing load balancing service (reserve). This paper looks to develop solutions for this challenge.