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Model and numerical methods for pricing renewable energy certificate derivatives
dc.contributor.author | Baamonde-Seoane, María A. | |
dc.contributor.author | Calvo-Garrido, María-del-Carmen | |
dc.contributor.author | Vázquez, Carlos | |
dc.date.accessioned | 2023-03-28T12:27:34Z | |
dc.date.available | 2023-03-28T12:27:34Z | |
dc.date.issued | 2023-04 | |
dc.identifier.citation | Baamonde-Seoane, M. A., del Carmen Calvo-Garrido, M., & Vázquez, C. (2023). Model and numerical methods for pricing renewable energy certificate derivatives. Communications in Nonlinear Science and Numerical Simulation, 118, 107066. 10.1016/j.cnsns.2022.107066 | es_ES |
dc.identifier.uri | http://hdl.handle.net/2183/32794 | |
dc.description.abstract | [Abstract]: Assuming that the price of the renewable energy certificate (REC) is known, we formulate the valuation problem of a European REC derivative in terms of a linear PDE model where the underlying stochastic factors are the accumulated green certificates sold by an authorized producer and the natural logarithm of the renewable generation rate. Next, a result of existence of solution is obtained for this PDE problem. In order to solve numerically the PDE problem, we propose two different methods: a semi-Lagrangian scheme in time combined with finite differences discretizations in the spatial-like variables, or alternative Lagrange–Galerkin methods. The application to the pricing of European options and futures on renewable energy certificates is addressed. Finally, we show illustrative results about the performance of the models and numerical methods that have been implemented. | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431C 2018/033 | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431C 2022/047 | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431G 2019/01 | es_ES |
dc.description.sponsorship | This work has been funded by MICINN from Spain (Grant PID2019-10858RB-I00), and by Xunta of Galicia (Grant ED431C 2018/033 and ED431C 2022/047), all including FEDER financial co-funding. All authors are members of CITIC, so that they acknowledge grant ED431G 2019/01, funded by Consellería de Educación, Universidade e Formación Profesional of Xunta de Galicia through FEDER, Spain funds with 80%, from FEDER Galicia 2014–2020 Program and 20% from Secretaría Xeral de Universidades. Funding for open access charge: Universidade da Coruña/CISUG. Authors are also grateful to two anonymous reviewers whose remarks helped to improve the article. | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Elsevier B.V. | es_ES |
dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PDI2019-108584RB-I00/ES/METODOS MATEMATICOS Y COMPUTACIONALES PARA NUEVOS RETOS EN FINANZAS CUANTITATIVAS, MEDIAMBIENTE, BIOTECNOLOGIA E INGENIERIA | es_ES |
dc.relation.uri | https://doi.org/10.1016/j.cnsns.2022.107066 | es_ES |
dc.rights | Atribución-NoComercial-SinDerivadas 3.0 España | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
dc.subject | Renewable energy certificates | es_ES |
dc.subject | Green certificates | es_ES |
dc.subject | REC derivatives | es_ES |
dc.subject | Linear PDE | es_ES |
dc.subject | Crank–Nicolson | es_ES |
dc.subject | Lagrange–Galerkin method | es_ES |
dc.title | Model and numerical methods for pricing renewable energy certificate derivatives | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
UDC.journalTitle | Communications in Nonlinear Science and Numerical Simulation | es_ES |
UDC.volume | 118 | es_ES |
UDC.issue | April | es_ES |
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