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.
Bates, Jumps and stochastic volatility: Exchange rate processes i mplicit in Deutchemark option , Review of Financial Studies, 9, 69-108, 1996
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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.