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Titel:

Numerical hedging of electricity contracts using dimension reduction

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Hepperger, P.
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...     »
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:
6
Seitenangaben Beitrag:
1250042, 26 pp.
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1142/S0219024912500422
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
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