Numerical analysis and simulation of exotic energy derivatives Ghent University
We consider numerical methods for the efficient and stable solution of advanced, multidimensional partial integro-differential equations (PIDEs) and partial integro-differential complementarity problems (PIDCPs) arising in financial energy option valuation. Here the underlying uncertain factors, e.g. the electricity price, are modelled by exponential Lévy processes to account for the jumps that are often observed in the markets. These jumps ...