A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS (Q5283407): Difference between revisions

@@ Property / author @@
-Nikolai G. Dokuchaev
@@ Property / author: Nikolai G. Dokuchaev / rank @@
-Normal rank
@@ Property / author @@
+Nikolai G. Dokuchaev
@@ Property / author: Nikolai G. Dokuchaev / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2150477532
@@ Property / OpenAlex ID: W2150477532 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.6444
@@ Property / arXiv ID: 1402.6444 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem
+Normal rank
@@ Property / cites work @@
+Dual pricing of multi-exercise options under volume constraints
+Normal rank
@@ Property / cites work @@
+Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
+Normal rank
@@ Property / cites work @@
+A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING
@@ Property / cites work: A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING / rank @@
+Normal rank
@@ Property / cites work @@
+Information Relaxations and Duality in Stochastic Dynamic Programs
+Normal rank
@@ Property / cites work @@
+CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY
+Normal rank
@@ Property / cites work @@
+Probabilistic aspects of finite-fuel stochastic control
+Normal rank
@@ Property / cites work @@
+Equivalent models for finite-fuel stochastic control
+Normal rank