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Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
dc.contributor.author | Calvo-Garrido, María-del-Carmen | |
dc.contributor.author | Vázquez, Carlos | |
dc.contributor.author | Ehrhardt, Matthias | |
dc.date.accessioned | 2024-01-29T16:50:31Z | |
dc.date.available | 2024-01-29T16:50:31Z | |
dc.date.issued | 2019 | |
dc.identifier.citation | Calvo-Garrido, M. C., Ehrhardt, M., & Vázquez, C. (2019). Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations. Applied Numerical Mathematics, 139, 77-92. https://doi.org/10.1016/j.apnum.2019.01.001 | es_ES |
dc.identifier.uri | http://hdl.handle.net/2183/35195 | |
dc.description.abstract | [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 multiple exercise rights. From the mathematical point of view the valuation of these products is posed as a sequence of free boundary problems where two consecutive exercise rights are separated by a time period. Due to the presence of jumps, the complementarity problems are associated with a partial-integro differential operator. In order to solve the pricing problem, we propose appropriate numerical methods based on a Crank–Nicolson semi-Lagrangian method for the time discretization of the differential part of the operator, jointly with the explicit treatment of the integral term by using the Adams–Bashforth scheme and combined with biquadratic Lagrange finite elements for space discretization. In addition, we use an augmented Lagrangian active set method to cope with the early exercise feature. Moreover, we employ appropriate artificial boundary conditions to treat the unbounded domain numerically. Finally, we present some numerical results in order to illustrate the proper behaviour of the numerical schemes. | es_ES |
dc.description.sponsorship | This work has been partially funded by MINECO of Spain (Project MTM2016-76497-R), Xunta de Galicia grants GRC2014/044 and ED431C 2018/33, including FEDER funds, and Bilateral German–Spanish DAAD Project No 57049700 HiPeCa: High Performance Calibration and Computation in Finance, Programme Acciones Conjuntas Hispano-Alemanas funded by German DAAD and the Fundación Universidad. | es_ES |
dc.description.sponsorship | Xunta de Galicia; GRC2014/044 | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431C 2018/33 | es_ES |
dc.description.sponsorship | Germany. German Academic Exchange Service; 57049700 | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Elsevier | es_ES |
dc.relation | Info:eu-repo/grantAgreement/MINECO/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/MTM2016-76497-R /ES/ | es_ES |
dc.relation.uri | https://doi.org/10.1016/j.apnum.2019.01.001 | es_ES |
dc.rights | Creative Commons Attribution-NonCommercial-NoDerivs 4.0 International (CC-BY-NC-ND) | es_ES |
dc.rights | © 2019 IMACS. Published by Elsevier B.V. All rights reserved. | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
dc.subject | Swing options | es_ES |
dc.subject | Electricity price | es_ES |
dc.subject | Jump-diffusion models | es_ES |
dc.subject | Augmented Lagrangian Active Set (ALAS) formulation | es_ES |
dc.subject | Semi-Lagrangian method | es_ES |
dc.subject | Biquadratic Lagrange finite elements | es_ES |
dc.subject | Artificial boundary conditions | es_ES |
dc.title | Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
UDC.journalTitle | Applied Numerical Mathematics | es_ES |
UDC.volume | 139 | es_ES |
UDC.startPage | 77 | es_ES |
UDC.endPage | 92 | es_ES |
dc.identifier.doi | https://doi.org/10.1016/j.apnum.2019.01.001 |
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