ListarModelos e métodos numéricos en enxeñaría e ciencias aplicadas (M2NICA) por tema "Augmented Lagrangian active set (ALAS) formulation"
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Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
(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 ...