A1 Refereed original research article in a scientific journal

On the optimal exercise of swing options in electricity markets




AuthorsFred Espen Benth, Jukka Lempa, Trygve Kastberg NIlssen

Publication year2011

JournalJournal of Energy Markets

Volume4

Issue4

First page 3

Last page28


Abstract

We study the optimal exercise of a swing option in electricity markets. To this end, we set up a model in terms of a stochastic control problem. In this model, the option can be exercised in continuous time and is subject to a total volume constraint. We analyze some fundamental properties of the model and carry out a numerical analysis. Finally, we illustrate the results numerically.



Last updated on 2024-26-11 at 17:47