Pages that link to "Item:Q861551"
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The following pages link to Numerical methods for the pricing of swing options: a stochastic control approach (Q861551):
Displaying 38 items.
- Gas storage valuation applying numerically constructed recombining trees (Q421730) (← links)
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options (Q631202) (← links)
- A dual approach to multiple exercise option problems under constraints (Q992045) (← links)
- A deep learning model for gas storage optimization (Q2064630) (← links)
- Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing. (Q2094859) (← links)
- Volatility uncertainty quantification in a stochastic control problem applied to energy (Q2176387) (← links)
- On conditional cuts for stochastic dual dynamic programming (Q2195564) (← links)
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes (Q2199786) (← links)
- Valuation of swing options under a regime-switching mean-reverting model (Q2298579) (← links)
- Pricing and risk of swing contracts in natural gas markets (Q2418428) (← links)
- Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches (Q2514869) (← links)
- WHEN ARE SWING OPTIONS BANG-BANG? (Q2786344) (← links)
- THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING (Q2797875) (← links)
- A Practical View on Valuation of Multi-Exercise American Style Options in Gas and Electricity Markets (Q2917439) (← links)
- Gas Storage Hedging (Q2917445) (← links)
- Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques (Q2917446) (← links)
- The Evaluation of Gas Swing Contracts with Regime Switching (Q2920957) (← links)
- HEDGING SWING OPTIONS (Q3005962) (← links)
- Optimal Quantization for the Pricing of Swing Options (Q3395726) (← links)
- Valuation of energy storage: an optimal switching approach (Q3564806) (← links)
- Galerkin methods in dynamic stochastic programming (Q3577835) (← links)
- Pricing of Swing Options in a Mean Reverting Model with Jumps (Q3617306) (← links)
- Natural gas storage valuation and optimization: A real options application (Q3621931) (← links)
- Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units (Q4991090) (← links)
- Implications of a regime-switching model on natural gas storage valuation and optimal operation (Q5190131) (← links)
- SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION (Q5210912) (← links)
- Pricing bounds and bang-bang analysis of the Polaris variable annuities (Q5215446) (← links)
- On the Optimal Exercise Boundaries of Swing Put Options (Q5219294) (← links)
- Efficient pricing of swing options in Lévy-driven models (Q5397406) (← links)
- A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING (Q5739185) (← links)
- A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets (Q6070671) (← links)
- Neural networks for first order HJB equations and application to front propagation with obstacle terms (Q6087416) (← links)
- Optimal liquidation through a limit order book: a neural network and simulation approach (Q6164829) (← links)
- Distributed energy resources flexibility as volumetric options on electricity (Q6187722) (← links)
- Swing option pricing consistent with futures smiles (Q6581586) (← links)
- Swing contract pricing: with and without neural networks (Q6581630) (← links)
- Recent developments in machine learning methods for stochastic control and games (Q6615618) (← links)
- FX Open Forward (Q6657683) (← links)
