A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS (Q5283407)
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scientific article; zbMATH DE number 6751210
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| English | A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS |
scientific article; zbMATH DE number 6751210 |
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A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS (English)
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21 July 2017
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first-order backward stochastic partial differential equation
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optimal stopping
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stochastic optimal control
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swing options
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pathwise differential inclusion
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dual minimization problem
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0.9681392
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0.8836764
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0.87463355
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0.8605707
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0.85930085
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0.8583861
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0.85784876
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0.85442376
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0.8538724
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