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A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices
 

Summary: A Numerical Method for Pricing Electricity Derivatives for
Jump-Diffusion Processes Based on Continuous Time Lattices
Claudio Albanese
Department of Mathematics, Imperial College
London, SW7 2AZ, United Kingdom
claudio.albanese@imperial.ac.uk
Harry Lo
Department of Mathematics, Imperial College
London, SW7 2AZ, United Kingdom
harry.lo@imperial.ac.uk
Stathis Tompaidis
IROM Department, McCombs School of Business
University of Texas at Austin
Austin, TX 78712, USA
stathis.tompaidis@mccombs.utexas.edu
Corresponding author. Tel. 512-4715252, Fax 512-4710587.
A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes
Based on Continuous Time Lattices
ABSTRACT
We present a numerical method for pricing derivatives on electricity prices. The method is

  

Source: Albanese, Claudio - Department of Mathematics, King's College London

 

Collections: Mathematics