Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations (Q2633523)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations |
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Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations (English)
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9 May 2019
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swing options
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electricity price
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jump-diffusion models
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augmented Lagrangian active set (ALAS) formulation
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semi-Lagrangian method
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biquadratic Lagrange finite elements
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artificial boundary conditions
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