Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
M.C. Calvo-Garrido, M. Erhardt and C. Vázquez
| Year of publication: |
February 2017
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| Authors: | Calvo-Garrido, M. C. ; Ehrhardt, Matthias ; Vázquez, Carlos |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016/2017, 3, p. 81-107
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| Subject: | swing options | electricity price | augmented Lagrangian active set (ALAS) formulation | semi-Lagrangian method | biquadratic Lagrange finite elements | artificial boundary conditions | Strompreis | Electricity price | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Analysis | Mathematical analysis | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2016.317 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011689686