Modelling and numerical valuation of power derivatives in energy markets (Q4919306)
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scientific article; zbMATH DE number 6161724
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| English | Modelling and numerical valuation of power derivatives in energy markets |
scientific article; zbMATH DE number 6161724 |
Statements
Modelling and Numerical Valuation of Power Derivatives in Energy Markets (English)
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8 May 2013
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swing options
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jump-diffusion process
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mean-reverting
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Black-Scholes equation
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energy market
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partial integro-differential equation
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theta-method
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implicit-explicit-scheme
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0.8548524975776672
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0.828325092792511
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0.823838472366333
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0.8205001950263977
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