Abstract
We consider a model of medium-term commodity contracts management. Randomness takes place only in the prices on which the commodities are exchanged whilst state variable is multi-dimensional. In [9], we proposed an algorithm to deal with such a problem, based on quantization of the random process and a dual dynamic programming type approach. We obtained accurate estimates of the optimal value and a suboptimal strategy from this algorithm. In this paper, we analyse the sensitivity with respect to parameters driving the price model. We discuss the estimate of marginal price based on the Danskin’s theorem. Finally, some numerical results applied to realistic energy market problems have been performed. Comparisons between results obtained in [9] and other classical methods are provided and give evidence of the good accuracy of the estimate of marginal prices.
MSC codes: 49Q12; 46N10; 49L20
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Bonnans, J.F., Cen, Z., Christel, T. (2012). Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques. In: Carmona, R., Del Moral, P., Hu, P., Oudjane, N. (eds) Numerical Methods in Finance. Springer Proceedings in Mathematics, vol 12. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-25746-9_15
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