Hedging electricity swaptions using partial integro-differential equations (Q665443)
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scientific article; zbMATH DE number 6012107
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Hedging electricity swaptions using partial integro-differential equations |
scientific article; zbMATH DE number 6012107 |
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Hedging electricity swaptions using partial integro-differential equations (English)
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5 March 2012
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swaptions
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quadratic hedging
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Hilbert space valued jump-diffusion
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infinite-dimensional stochastic analysis
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partial integro-differential equation
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