Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach

  1. Calvo-Garrido, M.C.
  2. Ehrhardt, M.
  3. Vázquez, C.
Journal:
Journal of Computational Finance

ISSN: 1755-2850,  1460-1559

Year of publication: 2017

Volume: 20

Issue: 3

Pages: 81-107

Type: Article

DOI: 10.21314/JCF.2016.317 GOOGLE SCHOLAR
Data source: Scopus