Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities
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Publication:4683094
DOI10.1080/14697688.2014.941913zbMath1398.91673MaRDI QIDQ4683094
Piergiacomo Sabino, Tommaso Pellegrino
Publication date: 19 September 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2014.941913
stochastic optimization; energy derivatives; Markov bridges; computational finance; least squares Monte Carlo
91G60: Numerical methods (including Monte Carlo methods)
65C05: Monte Carlo methods
93E20: Optimal stochastic control
91G20: Derivative securities (option pricing, hedging, etc.)
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