A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING (Q5739185)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING |
scientific article; zbMATH DE number 6603656
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING |
scientific article; zbMATH DE number 6603656 |
Statements
A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING (English)
0 references
15 July 2016
0 references
swing options
0 references
stochastic optimal control
0 references
backward stochastic partial differential equations
0 references
