Volatility uncertainty quantification in a stochastic control problem applied to energy (Q2176387)
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scientific article; zbMATH DE number 7196077
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| English | Volatility uncertainty quantification in a stochastic control problem applied to energy |
scientific article; zbMATH DE number 7196077 |
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Volatility uncertainty quantification in a stochastic control problem applied to energy (English)
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4 May 2020
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chaos expansion
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uncertainty quantification
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stochastic control
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stochastic programming
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swing options
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Monte Carlo simulations
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0.7164953351020813
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0.7154275178909302
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0.7056413292884827
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0.6954241394996643
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0.6943111419677734
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