View in EDS

A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices

Saved in:
Bibliographic Details
Title: A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
Authors: Albanese, Claudio1, albanese@mth.kcl.ac.uk, Lo, Harry2, harry.lo@ic.ac.uk, Tompaidis, Stathis3, stathis.tompaidis@mccombs.utexas.edu
Source: European Journal of Operational Research; 10/16/2012, Vol. 222 Issue 2, p361-368, 8p
Database: Applied Science & Technology Source
Be the first to leave a comment!
You must be logged in first