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Analysis 1 Electricity price 1 Mathematical analysis 1 Mathematical programming 1 Mathematische Optimierung 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Stochastic process 1 Stochastischer Prozess 1 Strompreis 1 artificial boundary conditions 1 augmented Lagrangian active set (ALAS) formulation 1 biquadratic Lagrange finite elements 1 electricity price 1 semi-Lagrangian method 1 swing options 1
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Calvo-Garrido, M. C. 1 Ehrhardt, Matthias 1 Vázquez, Carlos 1
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The journal of computational finance 1
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ECONIS (ZBW) 1
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Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
Calvo-Garrido, M. C.; Ehrhardt, Matthias; Vázquez, Carlos - In: The journal of computational finance 20 (2016/2017) 3, pp. 81-107
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