Valuation of electricity storage contracts using the COS method
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Publication:2245038
DOI10.1016/j.amc.2021.126416MaRDI QIDQ2245038
Cornelis W. Oosterlee, Boris C. Boonstra
Publication date: 12 November 2021
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.02917
valuation; COS method; electricity prices; Fourier-cosine expansions; polynomial processes; electricity storage
91Bxx: Mathematical economics
91Gxx: Actuarial science and mathematical finance
65Txx: Numerical methods in Fourier analysis
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