NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING
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Publication:2970319
DOI10.1142/S0219024917500042zbMath1396.91762arXiv1607.01207OpenAlexW3122960404MaRDI QIDQ2970319
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Publication date: 30 March 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1607.01207
Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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