Listar por autor "Ehrhardt, Matthias"
Mostrando ítems 1-2 de 2
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Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos; Ehrhardt, Matthias (Elsevier, 2019)[Abstract] In this paper we consider the valuation of swing options with the possibility of incorporating spikes in the underlying electricity price. This kind of contracts are modelled as path dependent options with ... -
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
Calvo-Garrido, María-del-Carmen; Vázquez, Carlos; Ehrhardt, Matthias (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 ...