Modelling and Numerical Valuation of Power Derivatives in Energy Markets

作     者：Mai Huong Nguyen Matthias Ehrhardt 

作者机构：Institut fur MathematikTechnische Universitat BerlinStrasse des 17.Juni 13610623 BerlinGermany Lehrstuhl fur Angewandte Mathematik und Numerische AnalysisFachbereich C-Mathematik und NaturwissenschaftenBergische Universitat WuppertalGaußstr.2042119 WuppertalGermany 

出 版 物：《Advances in Applied Mathematics and Mechanics》 (应用数学与力学进展（英文）)

年 卷 期：2012年第4卷第3期

页      面：259-293页

核心收录：

学科分类：07[理学] 0802[工学-机械工程] 0701[理学-数学] 0801[工学-力学（可授工学、理学学位）] 070101[理学-基础数学] 

主　　题：Swing options jump-diffusion process mean-reverting Black-Scholes equation energy market partial integro-differential equation theta-method Implicit-Explicit-Scheme 

摘      要：In this work we investigate the pricing of swing options in a model where the underlying asset follows a jump diffusion *** focus on the derivation of the partial integro-differential equation(PIDE)which will be applied to swing contracts and construct a novel pay-off function from a tree-based pay-off matrix that can be used as initial condition in the PIDE *** valuing swing type derivatives we develop a theta implicit-explicit finite difference scheme to discretize the PIDE using a Gaussian quadrature method for the integral *** on known results for the classical theta-method the existence and uniqueness of solution to the new implicit-explicit finite difference method is *** numerical examples illustrate the usability of the proposed method and allow us to analyse the sensitivity of swing options with respect to model *** particular the effects of number of exercise rights,jump intensities and dividend yields will be investigated in depth.