An options pricing approach to ramping rate restrictions at hydro power plants
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DOI: 10.1016/j.jedc.2015.11.003
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Citations
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Cited by:
- Margaret Insley, 2013. "On the timing of non-renewable resource extraction with regime switching prices: an optimal stochastic control approach," Working Papers 1302, University of Waterloo, Department of Economics, revised Aug 2013.
- Kern, Jordan D. & Characklis, Gregory W., 2017. "Low natural gas prices and the financial cost of ramp rate restrictions at hydroelectric dams," Energy Economics, Elsevier, vol. 61(C), pages 340-350.
- Insley, Margaret, 2017. "Resource extraction with a carbon tax and regime switching prices: Exercising your options," Energy Economics, Elsevier, vol. 67(C), pages 1-16.
- Kristina Rognlien Dahl, 2019. "Management of a hydropower system via convex duality," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 89(1), pages 43-71, February.
- Lee, Sangjun & Zhao, Jinhua, 2021. "Adaptation to climate change: Extreme events versus gradual changes," Journal of Economic Dynamics and Control, Elsevier, vol. 133(C).
- Hidekazu Yoshioka & Yuta Yaegashi, 2020. "A growth rate control problem of harmful species population and its application to algae bloom," Environment Systems and Decisions, Springer, vol. 40(1), pages 107-124, March.
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More about this item
Keywords
Ramping rate; Regime switching; Hydro power plant; Electricity; Stochastic control; Hamilton Jacobi Bellman-Partial Differential Equation;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- Q25 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Water
- Q49 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Other
- Q51 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Valuation of Environmental Effects
- Q58 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - Environmental Economics: Government Policy
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