Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
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 |
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