Baamonde-Seoane, María A.Calvo-Garrido, María-del-CarmenVázquez, Carlos2023-11-102023-11-102023http://hdl.handle.net/2183/34158Cursos e Congresos, C-155[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 methodengAttribution 4.0 International (CC BY 4.0)https://creativecommons.org/licenses/by-nc-sa/4.0/deed.esEnergías renovablesSistema FBSDEAlgoritmo de Bermúdez-Morenoconference outputopen access