Behavioral pricing of energy swing options by stochastic bilevel optimization

11948 16 32476 2 62572 document 32476 Behavioral pricing of energy swing options by stochastic bilevel optimization.pdf application/pdf 970e9250fd8fa645a3218846e202092e MD5 1612501 2016-02-17 09:36:16 https://pure.iiasa.ac.at/id/eprint/11948/1/Behavioral%20pricing%20of%20energy%20swing%20options%20by%20stochastic%20bilevel%20optimization.pdf 11948 1 1 application/pdf text en public cc_by

Behavioral pricing of energy swing options by stochastic bilevel optimization.pdf

published 32477 1 62585 document 32477 indexcodes.txt text/x-c++ 651da53349533fbc2ebf47e8182eaa4c MD5 10437 2016-02-17 09:44:43 https://pure.iiasa.ac.at/id/eprint/11948/2/indexcodes.txt 11948 2 2 text/x-c++ other Generate index codes conversion from text to indexcodes en public

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/32476 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/32476 http://eprints.org/relation/issmallThumbnailVersionOf https://pure.iiasa.ac.at/id/document/32476 archive 353 disk0/00/01/19/48 2016-02-17 09:37:48 2021-08-27 17:25:55 2016-02-17 09:37:48 article show Gross P. Pflug G. 1361 0000-0001-8215-3550 Behavioral pricing of energy swing options by stochastic bilevel optimization pub prog_risk prog_rpv stochastic bilevel program; swing option pricing; energy portfolio optimization; multistage energy optimization Holders of energy swing options are free to specify the amounts of energy to be delivered on short notice, paying a fixed price per unit delivered. Due to the complexity of potential demand patterns, risk elimination by replication of these contract at energy exchange markets is not possible. As a consequence, when selling delivery contracts, the energy producer has to explicitly consider the risk emanating from fluctuations in supply cost. The impact of these risk factors can be mitigated by the contract seller, who is an energy producer, to a certain extent: Supply cost fluctuations can be absorbed by the own generation portfolio whereas demand uncertainties can be influenced by the choice of the strike price, implicitly changing the buyer's behavior. Considering this, the determination of the optimal strike price can be formulated a a stochastic bilevel problem where the optimal decision of upper level player (price setting and production) depends on the optimal decision of a lower level player (demand depending on the price). We present a solution algorithm tailored to the resulting specific stochastic bilevel problem. We illstrate the effects of the behavioral pricing approach by studying behavioral price setting for natural gas swing options, highlighting in particulr the influence of the seller's production and contract portfolio as well as of the market liquidity on optimal exercise prices. 2016-02 published Springer 10.1007/s12667-016-0190-z 229 public Energy Systems 1-26 TRUE 1868-3975 FALSE no info:eu-repo/semantics/article