An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128)
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scientific article; zbMATH DE number 6508286
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| English | An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance |
scientific article; zbMATH DE number 6508286 |
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An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (English)
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13 November 2015
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optimal switching
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optimal multiple stopping
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diffusions
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dynamic programming
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eigenfunction expansions
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commodity swing options
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real options
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0.8094231486320496
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0.7908200621604919
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0.7708454728126526
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0.7524431943893433
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0.7523832321166992
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