Albanese, Claudio; Lo, Harry; Tompaidis, Stathis - In: European Journal of Operational Research 222 (2012) 2, pp. 361-368
We present a numerical algorithm for pricing derivatives on electricity prices. The algorithm is based on approximating the generator of the underlying price process on a lattice of prices, resulting in an approximation of the stochastic process by a continuous time Markov chain. We numerically...