Method for Pricing Renewable Energy Certificates

  1. María A. Baamonde Seoane 1
  2. María del Carmen Calvo Garrido 1
  3. Carlos Vázquez 1
  1. 1 Universidade da Coruña
    info

    Universidade da Coruña

    La Coruña, España

    ROR https://ror.org/01qckj285

Libro:
VI Congreso XoveTIC: impulsando el talento científico
  1. Manuel Lagos Rodríguez (ed. lit.)
  2. Álvaro Leitao Rodríguez (ed. lit.)
  3. Tirso Varela Rodeiro (ed. lit.)
  4. Javier Pereira Loureiro (coord.)
  5. Manuel Francisco González Penedo (coord.)

Editorial: Servizo de Publicacións ; Universidade da Coruña

Año de publicación: 2023

Congreso: XoveTIC (6. 2023. A Coruña)

Tipo: Aportación congreso

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Resumen

In this work we present one valuation method for Renewable Energy Certificates (RECs). Starting from a system of FBSDEs and using Ito lemma, we propose a mathematical model based on a semilinear PDE with two stochastic factors. The main novelty comes from the use of the Bermúdez-Moreno algorithm to deal the non-linear convective term in the PDE. This duality algorithm is based on the Yosida regularization of non-linear maximal monotone operators. The resulting linear problem is discretized by using a characteristics method combined with a second order implicit finite differences scheme. We showillustrative results of the performance of the proposed model and the numerical method

Fuente de los datos: Dialnet