SLADI : a semi-Lagrangian alternating-direction implicit method for the numerical solution of advection-diffusion problems with application to electricity storage valuations
Javier Hernández Ávalos, Paul V. Johnson and Peter W. Duck
| Year of publication: |
December 2015
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| Authors: | Ávalos, Javier Hernández ; Johnson, Paul V. ; Duck, Peter W. |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 19.2015/2016, 2, p. 69-108
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| Subject: | semi-Lagrangian | alternating-direction implicit method | electricity storage | advection and diffusion partial differential equations (PDEs) | optimization | Elektrizitätswirtschaft | Electric power industry | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis | Lagermanagement | Warehouse management | Lager | Storage facility |
| Type of publication: | Article |
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| 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/10011442669