{"paper":{"title":"Energy imbalance market call options and the valuation of storage","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.OC","authors_text":"Jan Palczewski, John Moriarty","submitted_at":"2016-10-17T20:03:30Z","abstract_excerpt":"The use of energy storage to balance electric grids is increasing and, with it, the importance of operational optimisation from the twin viewpoints of cost and system stability. In this paper we assess the real option value of balancing reserve provided by an energy-limited storage unit. The contractual arrangement is a series of American-style call options in an energy imbalance market (EIM), physically covered and delivered by the store, and purchased by the power system operator. We take the EIM price as a general regular one-dimensional diffusion and impose natural economic conditions on t"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1610.05325","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}