Optimal Generation and Trading in Solar Renewable Energy Certificate (SREC) Markets
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Publication:5126681
DOI10.1080/1350486X.2020.1754260zbMath1451.91203arXiv1904.06337OpenAlexW3021602562MaRDI QIDQ5126681
Sebastian Jaimungal, Unnamed Author
Publication date: 20 October 2020
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.06337
Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Financial markets (91G15)
Related Items (6)
Mean field models to regulate carbon emissions in electricity production ⋮ A mean‐field game approach to equilibrium pricing in solar renewable energy certificate markets ⋮ Model and numerical methods for pricing renewable energy certificate derivatives ⋮ Machine learning architectures for price formation models ⋮ Price formation and optimal trading in intraday electricity markets ⋮ Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method
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- ADAPT: A Price-Stabilizing Compliance Policy for Renewable Energy Certificates: The Case of SREC Markets
- Necessary Conditions for Continuous Parameter Stochastic Optimization Problems
- The valuation of clean spread options: linking electricity, emissions and fuels
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