Model and numerical methods for pricing renewable energy certificate derivatives

DOI10.1016/j.cnsns.2022.107066OpenAlexW4313254761MaRDI QIDQ2684158

Carlos Vázquez, María A. Baamonde-Seoane, Maria del Carmen Calvo-Garrido

Publication date: 16 February 2023

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2022.107066

zbMATH Keywords

linear PDECrank-NicolsonLagrange-Galerkin methodgreen certificatesrenewable energy certificatesREC derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60)

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