A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
Claudio Albanese; Harry Lo; Stathis Tompaidis
| Year of publication: |
2012
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|---|---|
| Authors: | Albanese, Claudio ; Lo, Harry ; Tompaidis, Stathis |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 222.2012, 2 (16.10.), p. 361-368
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| Subject: | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Strompreis | Electricity price | Algorithmus | Algorithm |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009570404