On the optimal exercise of swing options in electricity markets

Fred Espen Benth, Jukka Lempa and Trygve Kastberg Nilssen

Journal of Energy Markets

Abstract: 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.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-energy-markets/216 ... -electricity-markets (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ2:2160760

Access Statistics for this article

More articles in Journal of Energy Markets from Journal of Energy Markets
Bibliographic data for series maintained by Thomas Paine ().