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

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-.1111/mafi.12067
@@ Property / DOI: 10.1111/mafi.12067 / rank @@
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+WHEN ARE SWING OPTIONS BANG-BANG?
@@ Property / cites work: WHEN ARE SWING OPTIONS BANG-BANG? / rank @@
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+Numerical methods for the pricing of swing options: a stochastic control approach
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+Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem
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+Dual pricing of multi-exercise options under volume constraints
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+Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
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+DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS
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+Information Relaxations and Duality in Stochastic Dynamic Programs
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+OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
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+CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY
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+\(W^{m,p}\)-solution (\(p\geqslant 2\)) of linear degenerate backward stochastic partial differential equations in the whole space
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+Semi-linear degenerate backward stochastic partial differential equations and associated forward-backward stochastic differential equations
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+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
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+On semi-linear degenerate backward stochastic partial differential equations
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+Valuation of Commodity-Based Swing Options
@@ Property / cites work: Valuation of Commodity-Based Swing Options / rank @@
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+On linear, degenerate backward stochastic partial differential equations
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+MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
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+Stochastic Hamilton–Jacobi–Bellman Equations
@@ Property / cites work: Stochastic Hamilton–Jacobi–Bellman Equations / rank @@
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+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
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+Pathwise Stochastic Optimal Control
@@ Property / cites work: Pathwise Stochastic Optimal Control / rank @@
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+A pure martingale dual for multiple stopping
@@ Property / cites work: A pure martingale dual for multiple stopping / rank @@
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+OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
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+.1111/MAFI.12067
@@ Property / DOI: 10.1111/MAFI.12067 / rank @@
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