A continuous time model to price commodity-based swing options (Q2490450)
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scientific article; zbMATH DE number 5021496
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| default for all languages | No label defined |
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| English | A continuous time model to price commodity-based swing options |
scientific article; zbMATH DE number 5021496 |
Statements
A continuous time model to price commodity-based swing options (English)
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2 May 2006
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optimal stopping problem
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HJB quasi-variational inequalities
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option pricing
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commodity
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0.8529034852981567
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0.8382670879364014
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0.8306983113288879
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0.8272841572761536
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0.8183764219284058
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