Volatility uncertainty quantification in a stochastic control problem applied to energy

DOI10.1007/S11009-019-09692-XMaRDI QIDQ2176387zbMATH OpenOpenAlexWikidataFDO

Authors Francisco Bernal, Emmanuel Gobet, Jacques Printems

Publication date 4 May 2020

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-019-09692-x

zbMATH Keywords

uncertainty quantificationstochastic controlstochastic programmingchaos expansionMonte Carlo simulationsswing options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic programming (90C15) Approximation by polynomials (41A10) Optimal stochastic control (93E20)

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