A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices
Saved in:
| 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 |
| ISSN: | 03772217 |
|---|---|
| DOI: | 10.1016/j.ejor.2012.04.030 |
