Swing options valuation: a BSDE with constrained jumps approach (Q2917441)
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scientific article; zbMATH DE number 6088207
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Swing options valuation: a BSDE with constrained jumps approach |
scientific article; zbMATH DE number 6088207 |
Statements
Swing Options Valuation: A BSDE with Constrained Jumps Approach (English)
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28 September 2012
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backward stochastic differential equations with constrained jumps
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impulse control problems
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Monte Carlo methods
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swing options
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0.8337308168411255
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0.8067499399185181
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0.8025152683258057
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0.7968888282775879
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0.7911735773086548
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