Lattice tree versus dynamic programming in real option analysis

MaRDI QIDQ5346639zbMATH OpenFDO

Authors Hui Zhao, Bhusana Premanode, Pairote Sattayatham

Publication date 26 May 2017

Full work available at URL http://thaijmath.in.cmu.ac.th/index.php/thaijmath/article/view/2141

zbMATH Keywords

cellulosic ethanol policydynamic programminglattice treereal option

Mathematics Subject Classification ID

Applications of graph theory (05C90) Dynamic programming (90C39) Corporate finance (dividends, real options, etc.) (91G50)

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(1)

• How to speed up the quantization tree algorithm with an application to swing options

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