Method for Pricing Renewable Energy Certificates
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Method for Pricing Renewable Energy CertificatesData
2023Resumo
[Abstract] In this work we present one valuation method for Renewable Energy Certificates
(RECs). Starting from a system of FBSDEs and using Ito lemma, we propose a mathematical
model based on a semilinear PDE with two stochastic factors. The main novelty comes from the
use of the Bermúdez-Moreno algorithm to deal the non-linear convective term in the PDE. This
duality algorithm is based on the Yosida regularization of non-linear maximal monotone operators.
The resulting linear problem is discretized by using a characteristics method combined with
a second order implicit finite differences scheme. We showillustrative results of the performance
of the proposed model and the numerical method
Palabras chave
Energías renovables
Sistema FBSDE
Algoritmo de Bermúdez-Moreno
Sistema FBSDE
Algoritmo de Bermúdez-Moreno
Descrición
Cursos e Congresos, C-155
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Attribution 4.0 International (CC BY 4.0)