Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach

M Calvo-Garrido; M Ehrhardt; C Vázquez

doi:10.21314/jcf.2016.317

Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach

The Journal of Computational Finance ◽

10.21314/jcf.2016.317 ◽

2016 ◽

Vol 20 (3) ◽

Cited By ~ 1

Author(s):

M Calvo-Garrido ◽

M Ehrhardt ◽

C Vázquez

Keyword(s):

Differential Equation ◽

Partial Differential Equation ◽

Electricity Markets ◽

Equation Approach ◽

Partial Differential ◽

Swing Options

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A Partial Differential Equation Approach to Inhalation Physiologically Based Pharmacokinetic Modeling

CPT Pharmacometrics & Systems Pharmacology ◽

10.1002/psp4.12344 ◽

2018 ◽

Vol 7 (10) ◽

pp. 638-646 ◽

Cited By ~ 4

Author(s):

Elin Boger ◽

Oskar Wigström

Keyword(s):

Differential Equation ◽

Partial Differential Equation ◽

Pharmacokinetic Modeling ◽

Equation Approach ◽

Physiologically Based Pharmacokinetic Modeling ◽

Partial Differential ◽

Physiologically Based Pharmacokinetic ◽

Physiologically Based

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Understanding the Stochastic Partial Differential Equation Approach to Smoothing

Journal of Agricultural Biological and Environmental Statistics ◽

10.1007/s13253-019-00377-z ◽

2019 ◽

Vol 25 (1) ◽

pp. 1-16

Author(s):

David L. Miller ◽

Richard Glennie ◽

Andrew E. Seaton

Keyword(s):

Differential Equation ◽

Partial Differential Equation ◽

Stochastic Partial Differential Equation ◽

Equation Approach ◽

Partial Differential

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Comparison of two methods of optimal control synthesis: Partial differential equation approach and integral equation approach

Korean Journal of Chemical Engineering ◽

10.1007/bf02705647 ◽

1995 ◽

Vol 12 (2) ◽

pp. 198-206 ◽

Cited By ~ 5

Author(s):

Young-Soon Choe ◽

Kun Soo Chang

Keyword(s):

Differential Equation ◽

Partial Differential Equation ◽

Optimal Control ◽

Integral Equation ◽

Control Synthesis ◽

Equation Approach ◽

Partial Differential ◽

Optimal Control Synthesis ◽

Integral Equation Approach

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An efficient numerical partial differential equation approach for pricing foreign exchange interest rate hybrid derivatives

The Journal of Computational Finance ◽

10.21314/jcf.2015.303 ◽

2015 ◽

Vol 18 (4) ◽

pp. 39-93 ◽

Cited By ~ 11

Author(s):

Duy-Minh Dang ◽

Christina C Christara ◽

Kenneth R Jackson ◽

Asif Lakhany

Keyword(s):

Differential Equation ◽

Partial Differential Equation ◽

Interest Rate ◽

Foreign Exchange ◽

Equation Approach ◽

Partial Differential

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Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach

Scandinavian Actuarial Journal ◽

10.1080/03461230510009790 ◽

2005 ◽

Vol 2005 (4) ◽

pp. 285-308 ◽

Cited By ~ 2

Author(s):

N. E. Frangos * ◽

S. D. Vrontos ◽

A. N. Yannacopoulos

Keyword(s):

Differential Equation ◽

Partial Differential Equation ◽

Brownian Motion ◽

Fractional Brownian Motion ◽

Ruin Probability ◽

Type A ◽

Equation Approach ◽

Partial Differential ◽

Motion Type

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Partial differential equation approach to E 7

Acta Mathematica Sinica English Series ◽

10.1007/s10114-015-3533-0 ◽

2015 ◽

Vol 31 (2) ◽

pp. 177-200 ◽

Cited By ~ 1

Author(s):

Xiao Ping Xu

Keyword(s):

Differential Equation ◽

Partial Differential Equation ◽

Equation Approach ◽

Partial Differential

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A spatial partial differential equation approach to addressing unit misalignments in Bayesian poisson space-time models

Spatial and Spatio-temporal Epidemiology ◽

10.1016/j.sste.2020.100337 ◽

2020 ◽

Vol 33 ◽

pp. 100337

Author(s):

Natalie Sumetsky ◽

Christina Mair ◽

Stewart Anderson ◽

Paul J. Gruenewald

Keyword(s):

Differential Equation ◽

Partial Differential Equation ◽

Space Time ◽

Equation Approach ◽

Partial Differential ◽

Poisson Space

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Integral formulas associated with products of Bessel functions: a new partial differential equation approach

Journal of Computational and Applied Mathematics ◽

10.1016/0377-0427(92)00011-w ◽

1994 ◽

Vol 51 (2) ◽

pp. 135-157 ◽

Cited By ~ 3

Author(s):

E. Görlich ◽

C. Markett ◽

O. Stüpp

Keyword(s):

Differential Equation ◽

Partial Differential Equation ◽

Bessel Functions ◽

Equation Approach ◽

Partial Differential ◽

Integral Formulas

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A partial differential equation approach to multidimensional extrapolation

Journal of Computational Physics ◽

10.1016/j.jcp.2003.08.001 ◽

2004 ◽

Vol 193 (1) ◽

pp. 349-355 ◽

Cited By ~ 128

Author(s):

Tariq D. Aslam

Keyword(s):

Differential Equation ◽

Partial Differential Equation ◽

Equation Approach ◽

Partial Differential

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The Partial Differential Equation Approach Under Geometric Brownian Motion

Dynamic Modeling and Econometrics in Economics and Finance - Derivative Security Pricing ◽

10.1007/978-3-662-45906-5_9 ◽

2015 ◽

pp. 191-206

Author(s):

Carl Chiarella ◽

Xue-Zhong He ◽

Christina Sklibosios Nikitopoulos

Keyword(s):

Differential Equation ◽

Partial Differential Equation ◽

Brownian Motion ◽

Geometric Brownian Motion ◽

Equation Approach ◽

Partial Differential

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