Modelling and numerical valuation of power derivatives in energy markets
DOI10.4208/AAMM.10-M1133zbMATH Open1262.91149OpenAlexW4238688232MaRDI QIDQ4919306FDOQ4919306
Authors:
Publication date: 8 May 2013
Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.4208/aamm.10-m1133
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- scientific article; zbMATH DE number 2096574
partial integro-differential equationBlack-Scholes equationjump-diffusion processenergy marketswing optionsmean-revertingtheta-methodimplicit-explicit-scheme
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
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- PRICING OF EXOTIC ENERGY DERIVATIVES BASED ON ARITHMETIC SPOT MODELS
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- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- Financial modelling, risk management of energy instruments and the role of cryptocurrencies
- Model and numerical methods for pricing renewable energy certificate derivatives
- NUMERICAL HEDGING OF ELECTRICITY CONTRACTS USING DIMENSION REDUCTION
- Hedging electricity swaptions using partial integro-differential equations
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