Enhancing Least Squares Monte Carlo with diffusion bridges: an application to energy facilities

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

zbMATH Keywords

stochastic optimization; energy derivatives; Markov bridges; computational finance; least squares Monte Carlo

Mathematics Subject Classification ID

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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