A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices (Q1926943)
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scientific article; zbMATH DE number 6119515
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices |
scientific article; zbMATH DE number 6119515 |
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A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices (English)
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29 December 2012
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finance
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dynamic programming
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continuous time Markov chains
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electricity derivatives
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