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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...    »
 
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:
Pages contribution:
1250042, 26 pp. 
Reviewed:
ja 
Language:
en 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text