Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition
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Publication:4555179
DOI10.1080/14697688.2017.1307509zbMath1402.91884OpenAlexW2227718730MaRDI QIDQ4555179
Lin Zhao, Sweder van Wijnbergen
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1307509
incomplete marketoption pricingmodel ambiguityenergy marketreal option valuationleast squares Monte Carlostrategic decision-making
Stochastic programming (90C15) Dynamic programming (90C39) Corporate finance (dividends, real options, etc.) (91G50)
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