Pages that link to "Item:Q3395726"
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The following pages link to Optimal Quantization for the Pricing of Swing Options (Q3395726):
Displaying 26 items.
- Multi-asset American options and parallel quantization (Q370907) (← links)
- Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers (Q408108) (← links)
- Gas storage valuation applying numerically constructed recombining trees (Q421730) (← links)
- A dual approach to multiple exercise option problems under constraints (Q992045) (← links)
- Energy contracts management by stochastic programming techniques (Q1931657) (← links)
- Utility indifference pricing and hedging for structured contracts in energy markets (Q2014372) (← links)
- Volatility uncertainty quantification in a stochastic control problem applied to energy (Q2176387) (← links)
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes (Q2199786) (← links)
- WHEN ARE SWING OPTIONS BANG-BANG? (Q2786344) (← links)
- THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING (Q2797875) (← links)
- Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options (Q2917431) (← links)
- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (Q2917432) (← links)
- Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques (Q2917446) (← links)
- The Evaluation of Gas Swing Contracts with Regime Switching (Q2920957) (← links)
- How to speed up the quantization tree algorithm with an application to swing options (Q2994841) (← links)
- The homotopy perturbation method for the Black–Scholes equation (Q3070613) (← links)
- Optimal Quantization for the Pricing of Swing Options (Q3395726) (← links)
- Recursive Marginal Quantization of the Euler Scheme of a Diffusion Process (Q4682490) (← links)
- Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units (Q4991090) (← links)
- Exact Simulation of Variance Gamma-Related OU Processes: Application to the Pricing of Energy Derivatives (Q5149267) (← links)
- Fast Pricing of Energy Derivatives with Mean-Reverting Jump-diffusion Processes (Q5164999) (← links)
- SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION (Q5210912) (← links)
- On the Optimal Exercise Boundaries of Swing Put Options (Q5219294) (← links)
- DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS (Q5247424) (← links)
- Bid-Ask Spread Modelling, a Perturbation Approach (Q5746535) (← links)
- Normal Tempered Stable Processes and the Pricing of Energy Derivatives (Q5886359) (← links)
