Method for Pricing Renewable Energy Certificates

• María A. Baamonde Seoane ^[1] ; María del Carmen Calvo Garrido ^[1] ; Carlos Vázquez ^[1]
  1. [1] Universidade da Coruña

     Universidade da Coruña

     A Coruña, España

     
• Localización: VI Congreso XoveTIC: impulsando el talento científico / coord. por Javier Pereira-Loureiro, Manuel Francisco González Penedo; Manuel Lagos Rodríguez (ed. lit.), Álvaro Leitao Rodríguez (ed. lit.), Tirso Varela Rodeiro (ed. lit.), 2023
• Idioma: inglés
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• Resumen

  • In this work we present one valuation method for Renewable Energy Certificates (RECs). Starting from a system of FBSDEs and using Ito lemma, we propose a mathematical model based on a semilinear PDE with two stochastic factors. The main novelty comes from the use of the Bermúdez-Moreno algorithm to deal the non-linear convective term in the PDE. This duality algorithm is based on the Yosida regularization of non-linear maximal monotone operators. The resulting linear problem is discretized by using a characteristics method combined with a second order implicit finite differences scheme. We showillustrative results of the performance of the proposed model and the numerical method