A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
| Year of publication: |
2012
|
|---|---|
| Authors: | Albanese, Claudio ; Lo, Harry ; Tompaidis, Stathis |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 2430034. - Vol. 222.2012, 2 (16.10.), p. 361-369
|