User: Guest  Login
Document type:
Zeitschriftenaufsatz
Author(s):
Hepperger, P.
Title:
Numerical hedging of electricity contracts using dimension reduction
Abstract:
The basic contracts traded on energy exchanges involve fixed-rate payments for the delivery of electricity over a certain period of time. It has been shown that options on these electricity swaps can be priced efficiently using a Hilbert space-valued time-inhomogeneous jump-diffusion model for the forward curve. We consider the mean-variance hedging problem for European options under this model. We use portfolios containing only traded contracts. The computation of hedging strategies leads to q...    »
Keywords:
electricity options, hedging, Hilbert space-valued jump-diffusion, partial integro-differential equation, proper orthogonal decomposition
Journal title:
International Journal of Theoretical and Applied Finance
Year:
2012
Journal volume:
15
Journal issue:
6
Pages contribution:
1250042, 26 pp.
Reviewed:
ja
Language:
en
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX