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Method for Pricing Renewable Energy Certificates
dc.contributor.author | Baamonde-Seoane, María A | |
dc.contributor.author | Calvo-Garrido, María-del-Carmen | |
dc.contributor.author | Vázquez, Carlos | |
dc.date.accessioned | 2023-11-10T18:54:39Z | |
dc.date.available | 2023-11-10T18:54:39Z | |
dc.date.issued | 2023 | |
dc.identifier.uri | http://hdl.handle.net/2183/34158 | |
dc.description | Cursos e Congresos, C-155 | es_ES |
dc.description.abstract | [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 | es_ES |
dc.description.sponsorship | CITIC is funded by the Xunta de Galicia through the collaboration agreement between the Consellería de Cultura, Educación, Formación Profesional e Universidades and the Galician universities for the reinforcement of the research centres of the Galician University System (CIGUS) | |
dc.language.iso | eng | es_ES |
dc.publisher | Universidade da Coruña, Servizo de Publicacións | es_ES |
dc.relation.uri | https://doi.org/10.17979/spudc.000024.32 | |
dc.rights | Attribution 4.0 International (CC BY 4.0) | es_ES |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/deed.es | * |
dc.subject | Energías renovables | es_ES |
dc.subject | Sistema FBSDE | es_ES |
dc.subject | Algoritmo de Bermúdez-Moreno | es_ES |
dc.title | Method for Pricing Renewable Energy Certificates | es_ES |
dc.type | info:eu-repo/semantics/conferenceObject | es_ES |
dc.type | info:eu-repo/semantics/conferenceObject | es_ES |
dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
UDC.startPage | 203 | es_ES |
UDC.endPage | 211 | es_ES |
UDC.conferenceTitle | VI Congreso Xove TIC: impulsando el talento científico. Octubre, 2023, A Coruña | es_ES |