Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations

  1. Calvo-Garrido, M.C.
  2. Ehrhardt, M.
  3. Vázquez, C.
Journal:
Applied Numerical Mathematics

ISSN: 0168-9274

Year of publication: 2019

Volume: 139

Pages: 77-92

Type: Article

DOI: 10.1016/J.APNUM.2019.01.001 GOOGLE SCHOLAR
Data source: Scopus