ListarGI-M2NICA - Artigos por tema "Semi-Lagrangian method, Biquadratic Lagrange finite elements"
Mostrando ítems 1-1 de 1
-
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
(2017)[Abstract] In this paper, we consider the numerical valuation of swing options in electricity markets based on a two-factor model. These kinds of contracts are modeled as pathdependent options with multiple exercise ...