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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Hepperger, P. 
Titel:
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...    »
 
Stichworte:
electricity options, hedging, Hilbert space-valued jump-diffusion, partial integro-differential equation, proper orthogonal decomposition 
Zeitschriftentitel:
International Journal of Theoretical and Applied Finance 
Jahr:
2012 
Band / Volume:
15 
Heft / Issue:
Seitenangaben Beitrag:
1250042, 26 pp. 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text