Listar GI-M2NICA - Artigos por autor "Baamonde-Seoane, María A."
Mostrando ítems 1-3 de 3
-
Model and numerical methods for pricing renewable energy certificate derivatives
Baamonde-Seoane, María A.; Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (Elsevier B.V., 2023-04)[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 ... -
Numerical Solution of a Nonlinear PDE Model for Pricing Renewable Energy Certificates (RECs)
Baamonde-Seoane, María A.; Calvo-Garrido, María-del-Carmen; Coulon, Michael; Vázquez, Carlos (Elsevier, 2021)[Abstract] In this article we present a valuation method for Renewable Energy Certificates (RECs) or green certificates. For this purpose, we propose a non-linear PDE model with two stochastic factors: the accumulated green ... -
Pricing renewable energy certificates with a Crank–Nicolson Lagrange–Galerkin numerical method
Baamonde-Seoane, María A.; Calvo-Garrido, María-del-Carmen; Vázquez, Carlos (2023-04)[Abstract]: The valuation problem of renewable energy certificates can be formulated in terms of a nonlinear PDE model where the underlying stochastic factors are the accumulated green certificates sold by an authorized ...