Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: Motivated by the potential use of electricity storage to smooth fluctuations in supply and demand,  study the problem of writing American-type call options when the holder’s exercise strategy is of threshold type (so that the time of exercise is known, but random). The writer must provide physical cover by buying and storing the asset before selling the option.  optimise the writer’s strategy for a single option and for an infinite sequence of options, these two strategies being different. The latter is motivated by the lifetime valuation of an energy storage unit when used as reserve capacity in a por system. Our stochastic process is a Brownian motion representing the real-time system imbalance, and which  rescale to represent an imbalance price. The single option leads to an optimal stopping problem in which the principle of smooth fit may be violated and the stopping region may be disconnected. The lifetime analysis uses techniques and results for the single option to construct a certain fixed point characterising the value function.
['John Moriarty', 'Jan Palczewski']
I am writing a research paper on a idea Real Option Valuation for Reserve Capacity
[{"from": "human", "value": "I am writing a research paper on a idea Real Option Valuation for Reserve Capacity"}, {"from": "gpt", "value": "Thats a unique idea.You should consider the following idea to enhance your idea so that it would impact uniquely: Motivated by the potential use of electricity storage to smooth fluctuations in supply and demand,  study the problem of writing American-type call options when the holder\u2019s exercise strategy is of threshold type (so that the time of exercise is known, but random). The writer must provide physical cover by buying and storing the asset before selling the option.  optimise the writer\u2019s strategy for a single option and for an infinite sequence of options, these two strategies being different. The latter is motivated by the lifetime valuation of an energy storage unit when used as reserve capacity in a por system. Our stochastic process is a Brownian motion representing the real-time system imbalance, and which  rescale to represent an imbalance price. The single option leads to an optimal stopping problem in which the principle of smooth fit may be violated and the stopping region may be disconnected. The lifetime analysis uses techniques and results for the single option to construct a certain fixed point characterising the value function."}]