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- W3148982252 abstract "We present a numerical method for pricing derivatives on electricity prices. The method is based on approximating the generator of the underlying process and can be applied for stochastic processes that are combinations of diusions and jump processes. The method is accurate even in the case of processes with fast mean-reversion and jumps of large magnitude. We illustrate the speed and accuracy of the method by pricing European and Bermudan options and calculating the hedge ratios of European options for the Geman-Roncoroni model for electricity prices." @default.
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- W3148982252 date "2006-01-01" @default.
- W3148982252 modified "2023-09-26" @default.
- W3148982252 title "A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices" @default.
- W3148982252 hasPublicationYear "2006" @default.
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