A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices

DOI10.1016/j.ejor.2012.04.030zbMath1253.91187OpenAlexW3020913752MaRDI QIDQ1926943

Harry Lo, Stathis Tompaidis, Claudio Albanese

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.04.030

zbMATH Keywords

dynamic programmingfinancecontinuous time Markov chainselectricity derivatives

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of mathematical programming (90C90) Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Electricity futures price models: calibration and forecasting ⋮ Computational analysis of a Markovian queueing system with geometric mean-reverting arrival process ⋮ AN IMPROVED MARKOV CHAIN APPROXIMATION METHODOLOGY: DERIVATIVES PRICING AND MODEL CALIBRATION ⋮ A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model ⋮ Modelling electricity prices: a time change approach ⋮ Pricing and risk management of interest rate swaps

Uses Software

• MATLAB expm

Cites Work

• Valuation and hedging of European contingent claims on power with spikes: a non-Markovian approach
• Interruptible Electricity Contracts from an Electricity Retailer's Point of View: Valuation and Optimal Interruption
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
• Financial Modelling with Jump Processes
• Fast deterministic pricing of options on Lévy driven assets
• The Scaling and Squaring Method for the Matrix Exponential Revisited

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