Electricity option prices under an exponential functional of Lévy processes with price caps are the unique viscosity solution to a PIDE, approximated by a consistent, stable, and convergent finite difference scheme.
Cont, Ekaterina voltchkova, Integro-differential equation for option prices in expone ntial Lvy models , Finance and Stochastics,Springer
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European Option Pricing of electricity under exponential functional of L\'evy processes with Price-Cap principle
Electricity option prices under an exponential functional of Lévy processes with price caps are the unique viscosity solution to a PIDE, approximated by a consistent, stable, and convergent finite difference scheme.