Modelling and Numerical Valuation of Power Derivatives in Energy Markets

DOI10.4208/AAMM.10-M1133zbMath1262.91149OpenAlexW4238688232MaRDI QIDQ4919306

No author found.

Publication date: 8 May 2013

Published in: Advances in Applied Mathematics and Mechanics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4208/aamm.10-m1133

zbMATH Keywords

theta-methodBlack-Scholes equationpartial integro-differential equationjump-diffusion processenergy marketswing optionsmean-revertingimplicit-explicit-scheme

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (1)

Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations

This page was built for publication: Modelling and Numerical Valuation of Power Derivatives in Energy Markets