Multi-stage stochastic optimization of carbon risk management

作者：

Highlights：

• Novel dynamic model of EU emissions management with continuously distributed prices.

• Using EUA futures and banking brings significant savings.

• EUA options are never used by a company.

• These findings are robust given parameter perturbations.

摘要

•Novel dynamic model of EU emissions management with continuously distributed prices.•Using EUA futures and banking brings significant savings.•EUA options are never used by a company.•These findings are robust given parameter perturbations.

论文关键词：Stochastic programming,Emissions trading,Multi-stage,SDDP,Dominance

论文评审过程：Received 24 June 2020, Revised 29 January 2022, Accepted 27 March 2022, Available online 9 April 2022, Version of Record 19 April 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.117021