NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION (Q4649505)
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scientific article; zbMATH DE number 6109792
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| English | NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION |
scientific article; zbMATH DE number 6109792 |
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NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION (English)
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22 November 2012
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electricity options
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hedging
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Hilbert space-valued jump-diffusion
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partial integro-differential equation
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proper orthogonal decomposition
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0.88966215
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0.8672367
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0.8668219
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0.8576671
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0.8553221
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0.8542553
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0.85180724
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0.85075396
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0.8495629
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