Accurate semi-Lagrangian time stepping for stochastic optimal control problems with application to the valuation of natural gas storage
DOI10.1137/110853546zbMATH Open1282.65175OpenAlexW1992937134MaRDI QIDQ2873136FDOQ2873136
Authors: Antony Ware 
Publication date: 23 January 2014
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/110853546
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- Merchant commodity storage practice revisited
- Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes
- A methodology to assess the economic impact of power storage technologies
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