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

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+.6444
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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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+A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING
@@ Property / cites work: A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING / rank @@
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+Information Relaxations and Duality in Stochastic Dynamic Programs
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+CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY
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+Probabilistic aspects of finite-fuel stochastic control
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+Equivalent models for finite-fuel stochastic control
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