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

✍ Scribed by Claudio Albanese; Harry Lo; Stathis Tompaidis

• Book ID: 116437039
• Publisher: Elsevier Science
• Year: 2012
• Tongue: English
• Weight: 266 KB
• Volume: 222
• Category: Article
• ISSN: 0377-2217
• DOI: 10.1016/j.ejor.2012.04.030