A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING (Q5739185): Difference between revisions

@@ Property / DOI @@
-.1111/mafi.12067
@@ Property / DOI: 10.1111/mafi.12067 / rank @@
-Normal rank
@@ 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 @@
+W2951379841
@@ Property / OpenAlex ID: W2951379841 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.3988
@@ Property / arXiv ID: 1305.3988 / rank @@
+Normal rank
@@ Property / cites work @@
+WHEN ARE SWING OPTIONS BANG-BANG?
@@ Property / cites work: WHEN ARE SWING OPTIONS BANG-BANG? / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical methods for the pricing of swing options: a stochastic control approach
+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 @@
+DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS
+Normal rank
@@ Property / cites work @@
+Information Relaxations and Duality in Stochastic Dynamic Programs
+Normal rank
@@ Property / cites work @@
+OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
+Normal rank
@@ Property / cites work @@
+CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY
+Normal rank
@@ Property / cites work @@
+\(W^{m,p}\)-solution (\(p\geqslant 2\)) of linear degenerate backward stochastic partial differential equations in the whole space
+Normal rank
@@ Property / cites work @@
+Semi-linear degenerate backward stochastic partial differential equations and associated forward-backward stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
+Normal rank
@@ Property / cites work @@
+On semi-linear degenerate backward stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+Valuation of Commodity-Based Swing Options
@@ Property / cites work: Valuation of Commodity-Based Swing Options / rank @@
+Normal rank
@@ Property / cites work @@
+On linear, degenerate backward stochastic partial differential equations
+Normal rank
@@ Property / cites work @@
+MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
+Normal rank
@@ Property / cites work @@
+Stochastic Hamilton–Jacobi–Bellman Equations
@@ Property / cites work: Stochastic Hamilton–Jacobi–Bellman Equations / rank @@
+Normal rank
@@ Property / cites work @@
+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
+Normal rank
@@ Property / cites work @@
+Pathwise Stochastic Optimal Control
@@ Property / cites work: Pathwise Stochastic Optimal Control / rank @@
+Normal rank
@@ Property / cites work @@
+A pure martingale dual for multiple stopping
@@ Property / cites work: A pure martingale dual for multiple stopping / rank @@
+Normal rank
@@ Property / cites work @@
+OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
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@@ Property / DOI @@
+.1111/MAFI.12067
@@ Property / DOI: 10.1111/MAFI.12067 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5739185