Valuation of electricity storage contracts using the COS method

@article{Boonstra2021ValuationOE,
  title={Valuation of electricity storage contracts using the COS method},
  author={Boris C. Boonstra and Cornelis W. Oosterlee},
  journal={Appl. Math. Comput.},
  year={2021},
  volume={410},
  pages={126416}
}
Solution of integrals with fractional Brownian motion for different Hurst indices
In this paper, we will evaluate integrals that define the conditional expectation, variance and characteristic function of stochastic processes with respect to fractional Brownian motion (fBm) for all
Positive Stochastic Collocation for the Collocated Local Volatility Model
This paper presents how to apply the stochastic collocation technique to assets that can not move below a boundary. It shows that the polynomial collocation towards a lognormal distribution does not

References

SHOWING 1-10 OF 57 REFERENCES
Gas Storage Valuation Using a Monte Carlo Method
Storage in the energy business is a major issue. Electricity can hardly be stored at all, while crude oil is best “stored” by not pumping it out of the ground in the first place. Natural gas occupies
Maximising the value of electricity storage
Stochastic Modeling of Electricity and Related Markets
The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above
A Survey of Commodity Markets and Structural Models for Electricity Prices
The goal of this survey is to review the major idiosyncrasies of the commodity markets and the methods which have been proposed to handle them in spot and forward price models. We devote special
Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange
This paper examines the importance of the regular pattern in the behavior of electricity prices, and its implications for the purposes of derivative pricing. We analyze the Nordic Power Exchange's
A socio-technical exploration of the Car as Power Plant
In the transition towards low-carbon energy systems, the growth of variable renewable energy sources (V-RES) like solar and wind in the electricity systems is calling for more flexibility measures.
...
...