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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Hepperger, P. 
Titel:
Hedging electricity swaptions using partial integro-differential equations 
Abstract:
The basic contracts traded on energy exchanges are swaps involving the delivery of electricity for fixed-rate payments over a certain period of time. The main objective of this article is to solve the quadratic hedging problem for European options on these swaps, known as electricity swaptions. We consider a general class of Hilbert space valued exponential jump-diffusion models. Since the forward curve is an infinite-dimensional object, but only a finite set of traded contracts is available f...    »
 
Zeitschriftentitel:
Stochastic Processes and their Applications 
Jahr:
2012 
Band / Volume:
122 
Quartal:
1. Quartal 
Monat:
Feb 
Heft / Issue:
Seitenangaben Beitrag:
600-622 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 12 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text